Anchor Series Trust SA PGI Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS - September 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 55.6% | ||||||||
Advertising Agencies - 0.2% | ||||||||
Interpublic Group of Cos., Inc. | 16,334 | $ | 272,288 | |||||
|
| |||||||
Agricultural Biotech - 0.2% | ||||||||
Corteva, Inc. | 11,774 | 339,209 | ||||||
|
| |||||||
Airlines - 0.0% | ||||||||
Alaska Air Group, Inc. | 1,116 | 40,879 | ||||||
|
| |||||||
Apparel Manufacturers - 0.6% | ||||||||
Deckers Outdoor Corp.† | 4,782 | 1,052,088 | ||||||
|
| |||||||
Applications Software - 1.4% | ||||||||
Microsoft Corp. | 10,549 | 2,218,771 | ||||||
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| |||||||
Athletic Equipment - 0.3% | ||||||||
YETI Holdings, Inc.† | 10,125 | 458,865 | ||||||
|
| |||||||
Athletic Footwear - 0.3% | ||||||||
NIKE, Inc., Class B | 3,565 | 447,550 | ||||||
|
| |||||||
Auction Houses/Art Dealers - 0.2% | ||||||||
Ritchie Bros. Auctioneers, Inc. | 4,400 | 260,700 | ||||||
|
| |||||||
Auto-Cars/Light Trucks - 0.3% | ||||||||
Ferrari NV | 2,750 | 506,248 | ||||||
|
| |||||||
Auto-Heavy Duty Trucks - 0.6% | ||||||||
NFI Group, Inc. | 721 | 8,967 | ||||||
PACCAR, Inc. | 7,468 | 636,871 | ||||||
Volvo AB ADR† | 19,000 | 364,990 | ||||||
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| |||||||
1,010,828 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 0.5% | ||||||||
Autoliv, Inc. | 2,260 | 164,709 | ||||||
Linamar Corp. | 2,082 | 61,934 | ||||||
Magna International, Inc. | 13,408 | 613,416 | ||||||
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| |||||||
840,059 | ||||||||
|
| |||||||
Banks-Commercial - 1.1% | ||||||||
Banco Bilbao Vizcaya Argentaria SA ADR | 50,000 | 137,000 | ||||||
Bank OZK | 8,373 | 178,512 | ||||||
Cathay General Bancorp | 2,105 | 45,637 | ||||||
Cullen/Frost Bankers, Inc. | 3,559 | 227,598 | ||||||
East West Bancorp, Inc. | 2,105 | 68,918 | ||||||
First Republic Bank | 4,304 | 469,394 | ||||||
ING Groep NV ADR† | 29,000 | 205,320 | ||||||
Nordea Bank Abp ADR† | 40,000 | 300,400 | ||||||
PacWest Bancorp | 611 | 10,436 | ||||||
Preferred Bank | 452 | 14,518 | ||||||
ServisFirst Bancshares, Inc. | 1,549 | 52,713 | ||||||
Washington Trust Bancorp, Inc. | 879 | 26,950 | ||||||
|
| |||||||
1,737,396 | ||||||||
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| |||||||
Banks-Super Regional - 0.5% | ||||||||
PNC Financial Services Group, Inc. | 6,978 | 766,952 | ||||||
US Bancorp | 2,654 | 95,146 | ||||||
|
| |||||||
862,098 | ||||||||
|
| |||||||
Batteries/Battery Systems - 0.2% | ||||||||
Energizer Holdings, Inc. | 9,195 | 359,892 | ||||||
|
| |||||||
Beverages-Non-alcoholic - 1.1% | ||||||||
Coca-Cola Co. | 9,311 | 459,684 | ||||||
Keurig Dr Pepper, Inc. | 15,903 | 438,923 | ||||||
PepsiCo, Inc. | 6,620 | 917,532 | ||||||
|
| |||||||
1,816,139 | ||||||||
|
| |||||||
Beverages-Wine/Spirits - 0.3% | ||||||||
Diageo PLC ADR | 3,000 | 412,980 | ||||||
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| |||||||
Brewery - 0.2% | ||||||||
Ambev SA ADR | 130,000 | 293,800 | ||||||
|
| |||||||
Building & Construction Products-Misc. - 0.1% | ||||||||
James Hardie Industries PLC ADR | 9,600 | 228,576 | ||||||
|
| |||||||
Building & Construction-Misc. - 0.0% | ||||||||
Comfort Systems USA, Inc. | 212 | 10,920 | ||||||
|
| |||||||
Building Products-Air & Heating - 0.1% | ||||||||
Lennox International, Inc. | 514 | 140,122 | ||||||
|
| |||||||
Building-Mobile Home/Manufactured Housing - 0.0% | ||||||||
LCI Industries | 615 | 65,368 | ||||||
|
| |||||||
Cable/Satellite TV - 0.0% | ||||||||
Cable One, Inc. | 19 | 35,823 | ||||||
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| |||||||
Cellular Telecom - 0.7% | ||||||||
T-Mobile US, Inc.† | 10,179 | 1,164,070 | ||||||
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Chemicals-Diversified - 0.6% | ||||||||
Croda International PLC ADR | 6,000 | 246,840 | ||||||
FMC Corp. | 3,493 | 369,944 | ||||||
Huntsman Corp. | 2,982 | 66,230 | ||||||
PPG Industries, Inc. | 2,518 | 307,397 | ||||||
|
| |||||||
990,411 | ||||||||
|
| |||||||
Chemicals-Specialty - 0.4% | ||||||||
Givaudan SA ADR | 7,500 | 647,325 | ||||||
H.B. Fuller Co. | 437 | 20,006 | ||||||
|
| |||||||
667,331 | ||||||||
|
| |||||||
Coatings/Paint - 0.0% | ||||||||
RPM International, Inc. | 619 | 51,278 | ||||||
|
| |||||||
Commercial Services - 0.1% | ||||||||
Morningstar, Inc. | 1,193 | 191,608 | ||||||
|
| |||||||
Commercial Services-Finance - 0.6% | ||||||||
Experian PLC ADR | 10,000 | 376,500 | ||||||
PayPal Holdings, Inc.† | 3,066 | 604,094 | ||||||
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| |||||||
980,594 | ||||||||
|
| |||||||
Computer Services - 0.2% | ||||||||
Amdocs, Ltd. | 3,483 | 199,959 | ||||||
Leidos Holdings, Inc. | 466 | 41,544 | ||||||
|
| |||||||
241,503 | ||||||||
|
| |||||||
Computers - 1.4% | ||||||||
Apple, Inc. | 19,377 | 2,244,050 | ||||||
|
| |||||||
Containers-Metal/Glass - 0.5% | ||||||||
Ball Corp. | 9,332 | 775,676 | ||||||
|
| |||||||
Containers-Paper/Plastic - 0.0% | ||||||||
Packaging Corp. of America | 480 | 52,344 | ||||||
|
| |||||||
Cosmetics & Toiletries - 0.3% | ||||||||
Unilever NV | 8,600 | 519,440 | ||||||
|
| |||||||
Data Processing/Management - 1.0% | ||||||||
Broadridge Financial Solutions, Inc. | 83 | 10,956 | ||||||
Fair Isaac Corp.† | 1,417 | 602,764 | ||||||
Fidelity National Information Services, Inc. | 6,291 | 926,098 | ||||||
|
| |||||||
1,539,818 | ||||||||
|
| |||||||
Diagnostic Equipment - 0.6% | ||||||||
Thermo Fisher Scientific, Inc. | 2,044 | 902,467 | ||||||
|
|
Disposable Medical Products - 0.3% | ||||||||
CONMED Corp. | 717 | 56,406 | ||||||
Teleflex, Inc. | 1,445 | 491,907 | ||||||
|
| |||||||
548,313 | ||||||||
|
| |||||||
Diversified Banking Institutions - 1.1% | ||||||||
Bank of America Corp. | 2,479 | 59,719 | ||||||
BNP Paribas SA ADR† | 6,000 | 109,620 | ||||||
JPMorgan Chase & Co. | 13,281 | 1,278,562 | ||||||
Morgan Stanley | 5,762 | 278,593 | ||||||
|
| |||||||
1,726,494 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 0.7% | ||||||||
3M Co. | 553 | 88,579 | ||||||
EnPro Industries, Inc. | 434 | 24,482 | ||||||
Parker-Hannifin Corp. | 2,861 | 578,895 | ||||||
Siemens AG ADR | 3,000 | 208,950 | ||||||
Trane Technologies PLC | 1,995 | 241,894 | ||||||
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| |||||||
1,142,800 | ||||||||
|
| |||||||
Drug Delivery Systems - 0.5% | ||||||||
Becton Dickinson and Co. | 3,547 | 825,316 | ||||||
|
| |||||||
E-Commerce/Products - 1.0% | ||||||||
Amazon.com, Inc.† | 490 | 1,542,878 | ||||||
|
| |||||||
E-Commerce/Services - 0.2% | ||||||||
Rightmove PLC† | 30,288 | 243,792 | ||||||
|
| |||||||
Electric Products-Misc. - 0.3% | ||||||||
Littelfuse, Inc. | 2,379 | 421,892 | ||||||
|
| |||||||
Electric-Distribution - 0.1% | ||||||||
Sempra Energy | 912 | 107,944 | ||||||
Unitil Corp. | 283 | 10,935 | ||||||
|
| |||||||
118,879 | ||||||||
|
| |||||||
Electric-Integrated - 2.0% | ||||||||
ALLETE, Inc. | 1,113 | 57,587 | ||||||
Alliant Energy Corp. | 7,846 | 405,246 | ||||||
CLP Holdings, Ltd. ADR | 36,000 | 336,240 | ||||||
Eversource Energy | 4,971 | 415,327 | ||||||
IDACORP, Inc. | 138 | 11,026 | ||||||
NextEra Energy, Inc. | 4,829 | 1,340,337 | ||||||
PNM Resources, Inc. | 381 | 15,747 | ||||||
Portland General Electric Co. | 390 | 13,845 | ||||||
WEC Energy Group, Inc. | 3,678 | 356,398 | ||||||
Xcel Energy, Inc. | 4,740 | 327,107 | ||||||
|
| |||||||
3,278,860 | ||||||||
|
| |||||||
Electronic Components-Misc. - 0.1% | ||||||||
Hubbell, Inc. | 288 | 39,410 | ||||||
nVent Electric PLC | 2,616 | 46,277 | ||||||
|
| |||||||
85,687 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 0.7% | ||||||||
Microchip Technology, Inc. | 10,648 | 1,094,188 | ||||||
Monolithic Power Systems, Inc. | 90 | 25,165 | ||||||
|
| |||||||
1,119,353 | ||||||||
|
| |||||||
Electronic Forms - 0.9% | ||||||||
Adobe, Inc.† | 3,120 | 1,530,142 | ||||||
|
| |||||||
Electronic Measurement Instruments - 0.5% | ||||||||
Roper Technologies, Inc. | 2,104 | 831,311 | ||||||
|
| |||||||
Electronic Parts Distribution - 0.2% | ||||||||
Arrow Electronics, Inc.† | 3,087 | 242,823 | ||||||
|
| |||||||
Enterprise Software/Service - 1.5% | ||||||||
Black Knight, Inc.† | 7,214 | 627,979 | ||||||
ManTech International Corp., Class A | 174 | 11,985 | ||||||
salesforce.com, Inc.† | 2,177 | 547,124 | ||||||
SAP SE ADR | 6,481 | 1,009,804 | ||||||
Tyler Technologies, Inc.† | 673 | 234,581 | ||||||
|
| |||||||
2,431,473 | ||||||||
|
| |||||||
Filtration/Separation Products - 0.0% | ||||||||
Donaldson Co., Inc. | 353 | 16,386 | ||||||
|
| |||||||
Finance-Credit Card - 0.9% | ||||||||
Discover Financial Services | 8,992 | 519,558 | ||||||
Visa, Inc., Class A | 4,857 | 971,254 | ||||||
|
| |||||||
1,490,812 | ||||||||
|
| |||||||
Finance-Investment Banker/Broker - 0.1% | ||||||||
Charles Schwab Corp. | 3,591 | 130,102 | ||||||
|
| |||||||
Finance-Mortgage Loan/Banker - 0.0% | ||||||||
Federal Agricultural Mtg. Corp., Class C | 391 | 24,891 | ||||||
|
| |||||||
Finance-Other Services - 1.0% | ||||||||
Deutsche Boerse AG ADR | 25,000 | 439,000 | ||||||
Hong Kong Exchanges & Clearing, Ltd. ADR | 13,000 | 610,090 | ||||||
Nasdaq, Inc. | 4,658 | 571,583 | ||||||
|
| |||||||
1,620,673 | ||||||||
|
| |||||||
Financial Guarantee Insurance - 0.0% | ||||||||
Assured Guaranty, Ltd. | 1,525 | 32,757 | ||||||
|
| |||||||
Food-Dairy Products - 0.2% | ||||||||
Danone SA ADR | 27,000 | 348,030 | ||||||
|
| |||||||
Food-Meat Products - 0.5% | ||||||||
Hormel Foods Corp. | 10,570 | 516,768 | ||||||
Tyson Foods, Inc., Class A | 5,961 | 354,560 | ||||||
|
| |||||||
871,328 | ||||||||
|
| |||||||
Food-Misc./Diversified - 0.2% | ||||||||
Ingredion, Inc. | 799 | 60,468 | ||||||
Orkla ASA ADR | 33,500 | 337,680 | ||||||
|
| |||||||
398,148 | ||||||||
|
| |||||||
Gas-Distribution - 0.3% | ||||||||
ONE Gas, Inc. | 1,513 | 104,412 | ||||||
Rubis SCA ADR | 35,000 | 280,000 | ||||||
Spire, Inc. | 391 | 20,801 | ||||||
|
| |||||||
405,213 | ||||||||
|
| |||||||
Golf - 0.0% | ||||||||
Acushnet Holdings Corp. | 2,109 | 70,884 | ||||||
|
| |||||||
Industrial Gases - 0.3% | ||||||||
Air Products & Chemicals, Inc. | 1,397 | 416,110 | ||||||
|
| |||||||
Instruments-Controls - 0.6% | ||||||||
Honeywell International, Inc. | 5,856 | 963,956 | ||||||
|
|
Insurance-Life/Health - 0.2% | ||||||||
AIA Group, Ltd. ADR | 7,500 | 298,875 | ||||||
|
| |||||||
Insurance-Multi-line - 0.5% | ||||||||
Allianz SE ADR | 20,000 | 383,000 | ||||||
Allstate Corp. | 884 | 83,220 | ||||||
Chubb, Ltd. | 3,078 | 357,417 | ||||||
|
| |||||||
823,637 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 1.1% | ||||||||
Fidelity National Financial, Inc. | 35,363 | 1,107,215 | ||||||
James River Group Holdings, Ltd. | 1,579 | 70,313 | ||||||
Markel Corp.† | 324 | 315,479 | ||||||
Progressive Corp. | 3,848 | 364,290 | ||||||
|
| |||||||
1,857,297 | ||||||||
|
| |||||||
Insurance-Reinsurance - 0.4% | ||||||||
Swiss Re AG ADR | 30,709 | 571,495 | ||||||
|
| |||||||
Internet Content-Entertainment - 0.4% | ||||||||
Facebook, Inc., Class A† | 2,446 | 640,607 | ||||||
|
| |||||||
Investment Management/Advisor Services - 0.7% | ||||||||
BlackRock, Inc. | 1,982 | 1,116,956 | ||||||
Raymond James Financial, Inc. | 502 | 36,526 | ||||||
|
| |||||||
1,153,482 | ||||||||
|
| |||||||
Machine Tools & Related Products - 0.3% | ||||||||
Lincoln Electric Holdings, Inc. | 5,086 | 468,115 | ||||||
|
| |||||||
Machinery-Construction & Mining - 0.3% | ||||||||
Caterpillar, Inc. | 388 | 57,870 | ||||||
Komatsu, Ltd. ADR | 18,000 | 396,000 | ||||||
|
| |||||||
453,870 | ||||||||
|
| |||||||
Machinery-Farming - 0.9% | ||||||||
Deere & Co. | 6,237 | 1,382,306 | ||||||
|
| |||||||
Machinery-General Industrial - 0.7% | ||||||||
Albany International Corp., Class A | 651 | 32,231 | ||||||
Crane Co. | 797 | 39,954 | ||||||
Kone Oyj ADR | 15,500 | 680,760 | ||||||
Nordson Corp. | 1,959 | 375,775 | ||||||
|
| |||||||
1,128,720 | ||||||||
|
| |||||||
Medical Instruments - 0.9% | ||||||||
Edwards Lifesciences Corp.† | 5,583 | 445,635 | ||||||
Medtronic PLC | 10,089 | 1,048,449 | ||||||
|
| |||||||
1,494,084 | ||||||||
|
| |||||||
Medical Products - 1.6% | ||||||||
Abbott Laboratories | 6,201 | 674,855 | ||||||
Coloplast A/S ADR | 34,000 | 535,840 | ||||||
Hill-Rom Holdings, Inc. | 90 | 7,516 | ||||||
LeMaitre Vascular, Inc. | 380 | 12,361 | ||||||
Sonova Holding AG ADR† | 10,400 | 527,384 | ||||||
STERIS PLC | 2,961 | 521,699 | ||||||
Varian Medical Systems, Inc.† | 1,377 | 236,844 | ||||||
|
| |||||||
2,516,499 | ||||||||
|
| |||||||
Medical-Biomedical/Gene - 0.3% | ||||||||
CSL, Ltd. ADR | 5,000 | 517,000 | ||||||
|
| |||||||
Medical-Drugs - 2.8% | ||||||||
Merck & Co., Inc. | 16,420 | 1,362,039 | ||||||
Novartis AG ADR | 8,166 | 710,115 | ||||||
Novo Nordisk A/S ADR | 4,700 | 326,321 | ||||||
Pfizer, Inc. | 16,197 | 594,430 | ||||||
Phibro Animal Health Corp., Class A | 1,571 | 27,335 | ||||||
Roche Holding AG ADR | 37,496 | 1,605,204 | ||||||
|
| |||||||
4,625,444 | ||||||||
|
| |||||||
Medical-HMO - 0.4% | ||||||||
UnitedHealth Group, Inc. | 1,911 | 595,793 | ||||||
|
| |||||||
Medical-Hospitals - 0.2% | ||||||||
Universal Health Services, Inc., Class B | 3,657 | 391,372 | ||||||
|
| |||||||
Metal Processors & Fabrication - 0.0% | ||||||||
Timken Co. | 795 | 43,105 | ||||||
|
| |||||||
Multimedia - 0.5% | ||||||||
Walt Disney Co. | 6,296 | 781,208 | ||||||
|
| |||||||
Non-Hazardous Waste Disposal - 0.6% | ||||||||
Waste Connections, Inc. | 9,403 | 976,031 | ||||||
|
| |||||||
Office Supplies & Forms - 0.3% | ||||||||
Avery Dennison Corp. | 3,337 | 426,602 | ||||||
|
| |||||||
Oil & Gas Drilling - 0.0% | ||||||||
Helmerich & Payne, Inc. | 3,523 | 51,612 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.3% | ||||||||
Cimarex Energy Co. | 6,096 | 148,316 | ||||||
Diamondback Energy, Inc. | 628 | 18,915 | ||||||
EOG Resources, Inc. | 5,702 | 204,930 | ||||||
Whiting Petroleum Corp.† | 3,847 | 66,515 | ||||||
|
| |||||||
438,676 | ||||||||
|
| |||||||
Oil Companies-Integrated - 0.7% | ||||||||
Chevron Corp. | 9,368 | 674,496 | ||||||
Exxon Mobil Corp. | 912 | 31,309 | ||||||
Royal Dutch Shell PLC, Class B ADR | 14,576 | 353,031 | ||||||
|
| |||||||
1,058,836 | ||||||||
|
| |||||||
Oil Refining & Marketing - 0.3% | ||||||||
HollyFrontier Corp. | 6,002 | 118,299 | ||||||
Marathon Petroleum Corp. | 8,136 | 238,710 | ||||||
Valero Energy Corp. | 1,480 | 64,114 | ||||||
|
| |||||||
421,123 | ||||||||
|
| |||||||
Pipelines - 0.2% | ||||||||
Enterprise Products Partners LP | 16,354 | 258,229 | ||||||
Targa Resources Corp. | 1,390 | 19,502 | ||||||
|
| |||||||
277,731 | ||||||||
|
| |||||||
Power Converter/Supply Equipment - 0.3% | ||||||||
Schneider Electric SE ADR | 20,000 | 498,200 | ||||||
|
| |||||||
Private Equity - 0.3% | ||||||||
KKR & Co., Inc., Class A | 15,807 | 542,812 | ||||||
|
| |||||||
Publishing-Books - 0.0% | ||||||||
John Wiley & Sons, Inc., Class A | 957 | 30,346 | ||||||
|
| |||||||
Real Estate Investment Trusts - 2.4% | ||||||||
Agree Realty Corp. | 690 | 43,912 | ||||||
Alexandria Real Estate Equities, Inc. | 7,939 | 1,270,240 | ||||||
American Tower Corp. | 1,498 | 362,112 | ||||||
Camden Property Trust | 164 | 14,593 | ||||||
CyrusOne, Inc. | 7,453 | 521,934 | ||||||
Digital Realty Trust, Inc. | 3,178 | 466,403 | ||||||
EastGroup Properties, Inc. | 331 | 42,808 |
Four Corners Property Trust, Inc. | 1,504 | 38,487 | ||||||
Granite Real Estate Investment Trust | 727 | 42,193 | ||||||
Medical Properties Trust, Inc. | 2,199 | 38,768 | ||||||
National Health Investors, Inc. | 372 | 22,420 | ||||||
Prologis, Inc. | 4,936 | 496,660 | ||||||
Realty Income Corp. | 4,685 | 284,614 | ||||||
STORE Capital Corp. | 10,569 | 289,908 | ||||||
Terreno Realty Corp. | 518 | 28,366 | ||||||
|
| |||||||
3,963,418 | ||||||||
|
| |||||||
Real Estate Management/Services - 0.2% | ||||||||
Daito Trust Construction Co., Ltd. ADR | 12,000 | 273,000 | ||||||
|
| |||||||
Recreational Vehicles - 0.1% | ||||||||
Brunswick Corp. | 4,083 | 240,530 | ||||||
|
| |||||||
Rental Auto/Equipment - 0.2% | ||||||||
Aaron’s, Inc. | 5,660 | 320,639 | ||||||
|
| |||||||
Retail-Apparel/Shoe - 0.6% | ||||||||
Lululemon Athletica, Inc.† | 3,151 | 1,037,845 | ||||||
|
| |||||||
Retail-Discount - 0.5% | ||||||||
Costco Wholesale Corp. | 1,905 | 676,275 | ||||||
Target Corp. | 632 | 99,489 | ||||||
|
| |||||||
775,764 | ||||||||
|
| |||||||
Retail-Gardening Products - 0.1% | ||||||||
Tractor Supply Co. | 1,323 | 189,639 | ||||||
|
| |||||||
Retail-Restaurants - 0.2% | ||||||||
Starbucks Corp. | 3,380 | 290,410 | ||||||
|
| |||||||
Rubber-Tires - 0.4% | ||||||||
Bridgestone Corp. ADR | 38,600 | 611,424 | ||||||
|
| |||||||
Savings & Loans/Thrifts - 0.2% | ||||||||
Washington Federal, Inc. | 12,700 | 264,922 | ||||||
|
| |||||||
Security Services - 0.3% | ||||||||
Secom Co., Ltd. ADR | 21,600 | 496,584 | ||||||
|
| |||||||
Semiconductor Components-Integrated Circuits - 0.7% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 13,982 | 1,133,521 | ||||||
|
| |||||||
Semiconductor Equipment - 1.1% | ||||||||
ASML Holding NV | 900 | 332,343 | ||||||
Kulicke & Soffa Industries, Inc. | 1,051 | 23,542 | ||||||
Lam Research Corp. | 1,574 | 522,175 | ||||||
MKS Instruments, Inc. | 734 | 80,175 | ||||||
Teradyne, Inc. | 6,030 | 479,144 | ||||||
Tokyo Electron, Ltd. ADR | 5,300 | 344,288 | ||||||
|
| |||||||
1,781,667 | ||||||||
|
| |||||||
Shipbuilding - 0.0% | ||||||||
Huntington Ingalls Industries, Inc. | 251 | 35,328 | ||||||
|
| |||||||
Soap & Cleaning Preparation - 0.8% | ||||||||
Church & Dwight Co., Inc. | 9,798 | 918,171 | ||||||
Reckitt Benckiser Group PLC ADR | 22,000 | 432,300 | ||||||
|
| |||||||
1,350,471 | ||||||||
|
| |||||||
Telecom Services - 0.7% | ||||||||
BCE, Inc. | 20,034 | 830,810 | ||||||
Telenor ASA ADR | 17,500 | 294,175 | ||||||
|
| |||||||
1,124,985 | ||||||||
|
| |||||||
Telephone-Integrated - 0.4% | ||||||||
Verizon Communications, Inc. | 11,207 | 666,704 | ||||||
|
| |||||||
Textile-Apparel - 0.3% | ||||||||
LVMH Moet Hennessy Louis Vuitton SE ADR | 5,700 | 537,111 | ||||||
|
| |||||||
Tools-Hand Held - 0.2% | ||||||||
MSA Safety, Inc. | 463 | 62,121 | ||||||
Snap-on, Inc. | 2,107 | 310,003 | ||||||
|
| |||||||
372,124 | ||||||||
|
| |||||||
Toys - 0.9% | ||||||||
Hasbro, Inc. | 9,427 | 779,801 | ||||||
Nintendo Co., Ltd. ADR | 9,300 | 659,370 | ||||||
|
| |||||||
1,439,171 | ||||||||
|
| |||||||
Transport-Marine - 0.0% | ||||||||
Kirby Corp.† | 320 | 11,574 | ||||||
|
| |||||||
Transport-Rail - 0.3% | ||||||||
Union Pacific Corp. | 2,532 | 498,475 | ||||||
|
| |||||||
Transport-Services - 0.3% | ||||||||
Expeditors International of Washington, Inc. | 6,105 | 552,625 | ||||||
|
| |||||||
Water - 0.1% | ||||||||
Essential Utilities, Inc. | 3,885 | 156,371 | ||||||
|
| |||||||
Web Portals/ISP - 0.6% | ||||||||
Alphabet, Inc., Class A† | 716 | 1,049,370 | ||||||
|
| |||||||
Total Common Stocks | ||||||||
(cost $72,552,414) |
| 90,249,042 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 8.6% | ||||||||
Invesco QQQ Trust ETF, Series 1 | 20,000 | 5,556,800 | ||||||
Vanguard Global ex-U.S. Real Estate ETF | 33,500 | 1,628,435 | ||||||
Invesco Preferred ETF | 318,500 | 4,691,505 | ||||||
Schwab U.S. TIPS ETF | 34,300 | 2,113,909 | ||||||
|
| |||||||
Total Exchange-Traded Funds | ||||||||
(cost $12,096,664) |
| 13,990,649 | ||||||
|
| |||||||
PREFERRED SECURITIES/CAPITAL SECURITIES - 0.1% | ||||||||
Banks-Super Regional - 0.1% | ||||||||
PNC Financial Services Group, Inc. | $ | 250,000 | 256,325 | |||||
|
| |||||||
ASSET BACKED SECURITIES - 3.1% | ||||||||
Diversified Financial Services - 3.1% | ||||||||
Ally Master Owner Trust | 250,000 | 251,632 | ||||||
American Express Credit Account Master Trust FRS | 316,000 | 316,430 | ||||||
BA Credit Card Trust | 200,000 | 205,766 |
Barclays Dryrock Issuance Trust FRS | 150,000 | 150,293 | ||||||
Chase Issuance Trust FRS | 211,000 | 211,181 | ||||||
Citigroup Mtg. Loan Trust VRS | 235,315 | 248,765 | ||||||
COMM Mtg. Trust VRS | 250,000 | 249,567 | ||||||
Commonbond Student Loan Trust | 76,000 | 78,717 | ||||||
Commonbond Student Loan Trust | 74,340 | 77,428 | ||||||
CSMC Trust VRS | 76,822 | 78,604 | ||||||
Ford Credit Auto Owner Trust | 250,000 | 252,890 | ||||||
GS Mtg. Securities Trust | 157,972 | 159,006 | ||||||
JPMorgan Mtg. Trust VRS | 29,465 | 29,703 | ||||||
JPMorgan Mtg. Trust VRS | 113,037 | 116,241 | ||||||
JPMorgan Mtg. Trust VRS | 52,596 | 52,870 | ||||||
JPMorgan Mtg. Trust VRS | 178,742 | 182,968 | ||||||
JPMorgan Mtg. Trust VRS | 35,043 | 35,929 | ||||||
MMAF Equipment Finance LLC | 41,737 | 42,028 | ||||||
MVW Owner Trust | 42,676 | 42,870 | ||||||
Navient Private Education Refi Loan Trust | 75,904 | 76,176 | ||||||
New Residential Mtg. Loan Trust VRS | 85,550 | 95,080 | ||||||
New Residential Mtg. Loan Trust VRS | 72,689 | 78,770 | ||||||
PFS Financing Corp. | 250,000 | 257,508 | ||||||
Sequoia Mtg. Trust VRS | 50,679 | 50,683 | ||||||
Sequoia Mtg. Trust VRS | 62,913 | 63,246 | ||||||
Sequoia Mtg. Trust VRS | 87,748 | 91,127 | ||||||
Sequoia Mtg. Trust VRS | 63,138 | 64,621 | ||||||
SLM Private Credit Student Loan Trust FRS | 93,306 | 88,314 | ||||||
Towd Point Mtg. Trust VRS | 150,000 | 162,385 | ||||||
Toyota Auto Loan Extended Note Trust | 250,000 | 266,791 | ||||||
Verizon Owner Trust FRS | 160,000 | 160,127 | ||||||
Verizon Owner Trust | 200,000 | 205,127 | ||||||
Verizon Owner Trust | 60,000 | 60,930 | ||||||
Wells Fargo Mtg. Backed Securities Trust VRS | 153,014 | 155,588 | ||||||
Westlake Automobile Receivables Trust | 250,000 | 250,989 | ||||||
WFRBS Commercial Mtg. Trust VRS | 140,000 | 108,257 | ||||||
|
| |||||||
Total Asset Backed Securities | ||||||||
(cost $4,975,621) |
| 5,018,607 | ||||||
|
| |||||||
U.S. CORPORATE BONDS & NOTES - 19.5% | ||||||||
Aerospace/Defense - 0.2% | ||||||||
Lockheed Martin Corp. | 250,000 | 312,310 | ||||||
|
|
Airlines - 0.3% | ||||||||
American Airlines Pass-Through Trust Pass-Through Certs. | 167,632 | 143,751 | ||||||
US Airways Pass Through Trust Pass-Through Certs. | 325,012 | 298,431 | ||||||
|
| |||||||
442,182 | ||||||||
|
| |||||||
Auto-Cars/Light Trucks - 0.2% | ||||||||
American Honda Finance Corp. | 250,000 | 266,657 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original - 0.1% | ||||||||
Titan International, Inc. | 250,000 | 187,003 | ||||||
|
| |||||||
Banks-Commercial - 0.5% | ||||||||
Fifth Third Bank | 250,000 | 267,549 | ||||||
PNC Bank NA | 250,000 | 278,679 | ||||||
SunTrust Banks, Inc. | 250,000 | 252,255 | ||||||
|
| |||||||
798,483 | ||||||||
|
| |||||||
Banks-Fiduciary - 0.3% | ||||||||
Bank of New York Mellon Corp. | 250,000 | 262,207 | ||||||
State Street Corp. | 250,000 | 266,498 | ||||||
|
| |||||||
528,705 | ||||||||
|
| |||||||
Banks-Super Regional - 0.5% | ||||||||
US Bancorp | 500,000 | 553,875 | ||||||
Wells Fargo & Co. | 250,000 | 279,860 | ||||||
|
| |||||||
833,735 | ||||||||
|
| |||||||
Brewery - 0.5% | ||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 500,000 | 604,010 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 250,000 | 282,882 | ||||||
|
| |||||||
886,892 | ||||||||
|
| |||||||
Cable/Satellite TV - 0.7% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 250,000 | 262,511 | ||||||
Comcast Corp. | 250,000 | 282,061 | ||||||
DISH DBS Corp. | 250,000 | 256,375 | ||||||
Time Warner Cable LLC | 250,000 | 332,366 | ||||||
|
| |||||||
1,133,313 | ||||||||
|
| |||||||
Cellular Telecom - 0.6% | ||||||||
Crown Castle Towers LLC | 100,000 | 101,460 | ||||||
Crown Castle Towers LLC | 250,000 | 284,893 | ||||||
Sprint Corp. | 250,000 | 287,187 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | 250,000 | 270,313 | ||||||
|
| |||||||
943,853 | ||||||||
|
| |||||||
Chemicals-Diversified - 0.3% | ||||||||
Westlake Chemical Corp. | 218,000 | 227,395 | ||||||
Westlake Chemical Corp. | 250,000 | 274,622 | ||||||
|
| |||||||
502,017 | ||||||||
|
| |||||||
Computers - 0.4% | ||||||||
Apple, Inc. | 300,000 | 307,006 | ||||||
Apple, Inc. | 250,000 | 284,403 | ||||||
|
| |||||||
591,409 | ||||||||
|
| |||||||
Containers-Paper/Plastic - 0.5% | ||||||||
Graphic Packaging International, Inc. | 500,000 | 519,375 | ||||||
Sealed Air Corp. | 250,000 | 320,625 | ||||||
|
| |||||||
840,000 | ||||||||
|
|
Diversified Banking Institutions - 2.0% | ||||||||
Bank of America Corp. FRS | 250,000 | 252,741 | ||||||
Bank of America Corp. | 250,000 | 280,111 | ||||||
Citigroup, Inc. FRS | 200,000 | 203,330 | ||||||
Citigroup, Inc. | 500,000 | 579,797 | ||||||
Goldman Sachs Group, Inc. FRS | 250,000 | 251,034 | ||||||
Goldman Sachs Group, Inc. | 250,000 | 260,013 | ||||||
JPMorgan Chase & Co. | 250,000 | 281,600 | ||||||
JPMorgan Chase & Co. | 250,000 | 250,355 | ||||||
Morgan Stanley FRS | 250,000 | 251,743 | ||||||
Morgan Stanley | 250,000 | 282,563 | ||||||
Morgan Stanley | 250,000 | 317,499 | ||||||
|
| |||||||
3,210,786 | ||||||||
|
| |||||||
E-Commerce/Products - 0.4% | ||||||||
Amazon.com, Inc. | 500,000 | 649,604 | ||||||
|
| |||||||
Electric-Generation - 0.0% | ||||||||
Indiantown Cogeneration LP | 12,456 | 12,456 | ||||||
|
| |||||||
Electric-Integrated - 2.0% | ||||||||
Alliant Energy Finance LLC | 216,000 | 231,925 | ||||||
Black Hills Corp. | 500,000 | 600,615 | ||||||
Black Hills Corp. | 250,000 | 274,270 | ||||||
Dominion Energy, Inc. | 250,000 | 254,578 | ||||||
PacifiCorp | 500,000 | 699,484 | ||||||
PPL Electric Utilities Corp. | 250,000 | 306,182 | ||||||
PPL Energy Supply LLC | 1,000,000 | 925,000 | ||||||
|
| |||||||
3,292,054 | ||||||||
|
| |||||||
Electric-Transmission - 0.4% | ||||||||
Oncor Electric Delivery Co. | 500,000 | 657,443 | ||||||
|
| |||||||
Electronic Components-Semiconductors - 0.1% | ||||||||
Micron Technology, Inc. | 100,000 | 103,845 | ||||||
|
| |||||||
Enterprise Software/Service - 0.2% | ||||||||
Oracle Corp. | 250,000 | 282,815 | ||||||
|
| |||||||
Finance-Investment Banker/Broker - 0.2% | ||||||||
Jefferies Group LLC | 250,000 | 282,353 | ||||||
|
| |||||||
Food-Misc./Diversified - 0.2% | ||||||||
Nestle Holdings, Inc. | 150,000 | 149,407 | ||||||
Post Holdings, Inc. | 250,000 | 257,188 | ||||||
|
| |||||||
406,595 | ||||||||
|
| |||||||
Instruments-Controls - 0.1% | ||||||||
Honeywell International, Inc. | 250,000 | 250,411 | ||||||
|
| |||||||
Insurance-Multi-line - 0.1% | ||||||||
Allstate Corp. FRS | 250,000 | 251,952 | ||||||
|
|
Insurance-Mutual - 0.1% | ||||||||
MassMutual Global Funding II | 200,000 | 215,039 | ||||||
|
| |||||||
Medical Instruments - 0.4% | ||||||||
Medtronic, Inc. | 500,000 | 667,853 | ||||||
|
| |||||||
Medical Products - 0.2% | ||||||||
Hologic, Inc. | 250,000 | 262,595 | ||||||
|
| |||||||
Medical-Biomedical/Gene - 0.6% | ||||||||
Amgen, Inc. | 200,000 | 206,903 | ||||||
Amgen, Inc. | 207,143 | 213,144 | ||||||
Gilead Sciences, Inc. | 250,000 | 250,525 | ||||||
Gilead Sciences, Inc. | 250,000 | 276,782 | ||||||
|
| |||||||
947,354 | ||||||||
|
| |||||||
Medical-Drugs - 0.5% | ||||||||
AbbVie, Inc. | 250,000 | 262,156 | ||||||
Bristol-Myers Squibb Co. | 500,000 | 574,564 | ||||||
|
| |||||||
836,720 | ||||||||
|
| |||||||
Medical-HMO - 0.2% | ||||||||
UnitedHealth Group, Inc. | 250,000 | 287,205 | ||||||
|
| |||||||
Medical-Hospitals - 0.2% | ||||||||
HCA, Inc. | 250,000 | 272,136 | ||||||
|
| |||||||
Multimedia - 0.2% | ||||||||
Walt Disney Co. | 250,000 | 260,160 | ||||||
|
| |||||||
Non-Hazardous Waste Disposal - 0.5% | ||||||||
Advanced Disposal Services, Inc. | 250,000 | 257,812 | ||||||
Covanta Holding Corp. | 250,000 | 260,000 | ||||||
Waste Pro USA, Inc. | 250,000 | 252,998 | ||||||
|
| |||||||
770,810 | ||||||||
|
| |||||||
Office Automation & Equipment - 0.3% | ||||||||
CDW LLC/CDW Finance Corp. | 500,000 | 545,625 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.3% | ||||||||
Cimarex Energy Co. | 250,000 | 268,331 | ||||||
W&T Offshore, Inc. | 250,000 | 172,165 | ||||||
|
| |||||||
440,496 | ||||||||
|
| |||||||
Oil Refining & Marketing - 0.2% | ||||||||
Phillips 66 FRS | 275,000 | 275,030 | ||||||
|
| |||||||
Paper & Related Products - 0.1% | ||||||||
Georgia-Pacific LLC | 100,000 | 104,236 | ||||||
|
| |||||||
Pharmacy Services - 0.5% | ||||||||
CVS Health Corp. | 250,000 | 266,475 | ||||||
CVS Health Corp. | 500,000 | 585,236 | ||||||
|
| |||||||
851,711 | ||||||||
|
| |||||||
Physical Therapy/Rehabilitation Centers - 0.5% | ||||||||
Encompass Health Corp. | 400,000 | 400,000 | ||||||
HealthSouth Corp. | 437,000 | 437,655 | ||||||
|
| |||||||
837,655 | ||||||||
|
| |||||||
Pipelines - 1.2% | ||||||||
Buckeye Partners LP | 250,000 | 232,950 | ||||||
Columbia Pipeline Group, Inc. | 250,000 | 325,933 | ||||||
El Paso Natural Gas Co. LLC | 500,000 | 633,557 |
NGPL PipeCo LLC | 500,000 | 519,020 | ||||||
Southeast Supply Header LLC | 250,000 | 249,455 | ||||||
|
| |||||||
|
| 1,960,915 | ||||||
|
|
Real Estate Investment Trusts - 1.3% | ||||||||
Alexandria Real Estate Equities, Inc. | 250,000 | 282,099 | ||||||
American Tower Corp. | 200,000 | 211,365 | ||||||
CBL & Associates LP | 500,000 | 187,500 | ||||||
CubeSmart LP | 100,000 | 109,883 | ||||||
CubeSmart LP | 250,000 | 265,234 | ||||||
Omega Healthcare Investors, Inc. | 250,000 | 273,078 | ||||||
Physicians Realty LP | 500,000 | 524,448 | ||||||
Ventas Realty LP/Ventas Capital Corp. | 250,000 | 259,926 | ||||||
|
| |||||||
2,113,533 | ||||||||
|
| |||||||
Retail-Automobile - 0.1% | ||||||||
Lithia Motors, Inc. | 250,000 | 258,125 | ||||||
|
| |||||||
Steel-Specialty - 0.3% | ||||||||
Allegheny Technologies, Inc. | 500,000 | 511,305 | ||||||
|
| |||||||
Telecom Equipment-Fiber Optics - 0.2% | ||||||||
Corning, Inc. | 250,000 | 310,438 | ||||||
|
| |||||||
Telecommunication Equipment - 0.1% | ||||||||
CommScope Technologies LLC | 250,000 | 240,000 | ||||||
|
| |||||||
Transport-Truck - 0.2% | ||||||||
XPO Logistics, Inc. | 250,000 | 267,154 | ||||||
|
| |||||||
Vitamins & Nutrition Products - 0.3% | ||||||||
HLF Financing SARL LLC/Herbalife International, Inc. | 500,000 | 513,750 | ||||||
|
| |||||||
Web Hosting/Design - 0.2% | ||||||||
VeriSign, Inc. | 250,000 | 276,250 | ||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes | ||||||||
(cost $29,272,325) |
| 31,692,968 | ||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES - 1.1% | ||||||||
Agricultural Chemicals - 0.1% | ||||||||
OCI NV | 250,000 | 258,500 | ||||||
|
| |||||||
Banks-Commercial - 0.1% | ||||||||
ING Groep NV | 250,000 | 259,399 | ||||||
|
| |||||||
Cellular Telecom - 0.2% | ||||||||
Vodafone Group PLC | 250,000 | 272,924 | ||||||
|
| |||||||
Diversified Banking Institutions - 0.2% | ||||||||
UBS Group Funding Switzerland AG | 250,000 | 260,733 | ||||||
|
| |||||||
Medical-Drugs - 0.1% | ||||||||
AstraZeneca PLC | 100,000 | 102,992 | ||||||
|
| |||||||
Oil & Gas Drilling - 0.0% | ||||||||
Valaris PLC | 250,000 | 17,839 | ||||||
|
| |||||||
Oil Companies-Integrated - 0.4% | ||||||||
Suncor Energy, Inc. | 75,000 | 78,609 | ||||||
Suncor Energy, Inc. | 500,000 | 511,659 | ||||||
|
| |||||||
590,268 | ||||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| |||||||
(cost $1,921,558) |
| 1,762,655 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES - 8.8% | ||||||||
Federal Home Loan Mtg. Corp. - 2.4% | ||||||||
1.50% due 02/12/2025 | 200,000 | 209,915 | ||||||
2.50% due 05/01/2050 | 244,491 | 256,661 | ||||||
3.00% due 01/01/2031 | 67,707 | 73,319 | ||||||
3.00% due 01/01/2033 | 52,743 | 57,437 |
3.00% due 04/01/2035 | 34,456 | 36,574 | ||||||
3.00% due 10/01/2042 | 220,092 | 238,277 | ||||||
3.00% due 05/01/2043 | 86,146 | 93,496 | ||||||
3.00% due 07/01/2045 | 112,762 | 121,710 | ||||||
3.50% due 07/01/2042 | 82,664 | 90,324 | ||||||
3.50% due 10/01/2042 | 76,689 | 84,510 | ||||||
3.50% due 08/01/2043 | 134,366 | 148,528 | ||||||
3.50% due 02/01/2044 | 118,483 | 128,731 | ||||||
3.50% due 07/01/2046 | 57,514 | 64,012 | ||||||
4.00% due 10/01/2045 | 134,562 | 152,389 | ||||||
4.00% due 08/01/2047 | 143,303 | 160,883 | ||||||
4.00% due 01/01/2048 | 96,079 | 109,796 | ||||||
4.00% due 06/01/2048 | 143,660 | 161,480 | ||||||
4.00% due 07/01/2049 | 77,908 | 86,845 | ||||||
4.50% due 11/01/2043 | 69,348 | 80,626 | ||||||
5.00% due 01/01/2034 | 34,550 | 39,774 | ||||||
5.00% due 04/01/2035 | 30,294 | 34,885 | ||||||
5.00% due 03/01/2048 | 68,705 | 79,873 | ||||||
6.00% due 05/01/2031 | 7,922 | 9,292 | ||||||
7.50% due 12/01/2030 | 9,452 | 9,876 | ||||||
7.50% due 01/01/2031 | 9,175 | 10,035 | ||||||
7.50% due 02/01/2031 | 574 | 643 | ||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | 90,000 | 92,373 | ||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | ||||||||
Series K031, Class A2 3.30% due 04/25/2023(2)(4) | 100,000 | 106,744 | ||||||
Series K035, Class A2 3.46% due 08/25/2023(2)(4) | 160,000 | 172,313 | ||||||
Series K036, Class A2 3.53% due 10/25/2023(2)(4) | 70,000 | 75,926 | ||||||
Federal Home Loan Mtg. Corp. REMIC | ||||||||
Series 4127, Class EJ 2.50% due 11/15/2032(3) | 70,030 | 74,369 | ||||||
Series 4033, Class ED 2.50% due 10/15/2036(3) | 56,681 | 57,538 | ||||||
Series 4097, Class HI 3.00% due 08/15/2027(3)(5) | 376,027 | 21,695 | ||||||
Series 4579, Class BA 3.00% due 01/15/2043(3) | 64,769 | 67,273 | ||||||
Series 4343, Class DI 3.50% due 08/15/2040(3)(5) | 153,494 | 8,302 | ||||||
Series 4786, Class DH 3.50% due 07/15/2042(3) | 50,000 | 50,281 | ||||||
Series 4121, Class UI 3.50% due 10/15/2042(3)(5) | 301,439 | 37,449 | ||||||
Series 4650, Class CA 3.50% due 05/15/2043(3) | 22,727 | 23,372 | ||||||
Series 4673, Class NT 3.50% due 09/15/2043(3) | 120,000 | 122,553 | ||||||
Series 3924, Class LB 4.00% due 05/15/2039(3) | 178,631 | 183,985 | ||||||
Series 4135, Class DI 4.00% due 11/15/2042(3)(5) | 131,132 | 15,833 | ||||||
Series 4808, Class DL 4.00% due 11/15/2045(3) | 30,000 | 33,328 | ||||||
Federal Home Loan Mtg. Corp. REMIC FRS | 705,062 | 97,097 | ||||||
Federal Home Loan Mtg. Corp. STRIPS | 56,410 | 64,681 | ||||||
|
| |||||||
3,845,003 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. - 4.7% | ||||||||
2.00% due 02/01/2032 | 86,611 | 90,498 | ||||||
2.50% due 06/01/2027 | 70,173 | 74,048 | ||||||
2.50% due 08/01/2028 | 81,832 | 86,844 | ||||||
2.50% due 03/01/2030 | 59,322 | 63,194 | ||||||
2.50% due 04/01/2050 | 163,732 | 171,882 | ||||||
2.50% due 06/01/2050 | 246,678 | 260,010 | ||||||
3.00% due 04/01/2027 | 21,620 | 23,039 | ||||||
3.00% due 05/01/2029 | 32,460 | 34,846 | ||||||
3.00% due 03/01/2030 | 70,648 | 76,146 | ||||||
3.00% due 08/01/2031 | 96,024 | 104,715 | ||||||
3.00% due 12/01/2034 | 112,814 | 118,396 | ||||||
3.00% due 10/01/2036 | 77,921 | 84,602 | ||||||
3.00% due 10/01/2042 | 83,226 | 90,654 | ||||||
3.00% due 11/01/2042 | 133,823 | 145,767 | ||||||
3.00% due 12/01/2042 | 198,062 | 215,414 | ||||||
3.00% due 02/01/2043 | 76,862 | 84,290 | ||||||
3.00% due 04/01/2043 | 112,155 | 118,090 | ||||||
3.00% due 06/01/2043 | 135,127 | 147,192 | ||||||
3.00% due 08/01/2043 | 105,958 | 115,378 | ||||||
3.00% due 07/01/2046 | 156,286 | 167,534 | ||||||
3.00% due 12/01/2046 | 68,697 | 73,677 | ||||||
3.00% due 10/01/2049 | 132,898 | 139,220 | ||||||
3.00% due 12/01/2049 | 111,767 | 117,126 | ||||||
3.00% due 01/01/2050 | 163,123 | 170,933 | ||||||
3.00% due 02/01/2050 | 137,688 | 144,256 | ||||||
3.50% due 08/01/2031 | 47,306 | 52,228 | ||||||
3.50% due 02/01/2033 | 90,736 | 100,130 | ||||||
3.50% due 01/01/2036 | 97,928 | 105,491 | ||||||
3.50% due 06/01/2039 | 45,654 | 49,706 | ||||||
3.50% due 09/01/2042 | 81,894 | 90,442 | ||||||
3.50% due 11/01/2042 | 112,071 | 123,926 | ||||||
3.50% due 02/01/2043 | 41,450 | 46,643 | ||||||
3.50% due 05/01/2043 | 101,503 | 114,225 | ||||||
3.50% due 09/01/2044 | 58,411 | 65,665 | ||||||
3.50% due 11/01/2044 | 97,605 | 109,778 | ||||||
3.50% due 03/01/2045 | 93,793 | 103,436 | ||||||
3.50% due 06/01/2045 | 48,480 | 54,526 | ||||||
3.50% due 09/01/2045 | 52,181 | 57,672 | ||||||
3.50% due 11/01/2045 | 107,654 | 119,770 | ||||||
3.50% due 03/01/2046 | 75,882 | 85,352 | ||||||
3.50% due 04/01/2046 | 116,769 | 131,343 | ||||||
3.50% due 03/01/2047 | 118,690 | 133,435 | ||||||
3.50% due 10/01/2047 | 121,985 | 133,485 | ||||||
4.00% due 09/01/2038 | 29,011 | 31,091 |
4.00% due 09/01/2040 | 98,263 | 109,098 | ||||||
4.00% due 08/01/2043 | 120,538 | 137,904 | ||||||
4.00% due 08/01/2044 | 89,421 | 102,282 | ||||||
4.00% due 10/01/2044 | 119,215 | 131,890 | ||||||
4.00% due 12/01/2044 | 72,806 | 83,278 | ||||||
4.00% due 05/01/2046 | 131,336 | 148,848 | ||||||
4.00% due 07/01/2046 | 59,809 | 68,403 | ||||||
4.00% due 08/01/2046 | 111,302 | 123,974 | ||||||
4.00% due 07/01/2047 | 69,663 | 79,623 | ||||||
4.00% due 10/01/2047 | 70,205 | 79,434 | ||||||
4.00% due 12/01/2047 | 71,390 | 81,597 | ||||||
4.00% due 02/01/2048 | 72,773 | 82,307 | ||||||
4.50% due 03/01/2041 | 123,947 | 139,494 | ||||||
4.50% due 09/01/2043 | 239,633 | 278,483 | ||||||
4.50% due 12/01/2044 | 110,287 | 128,195 | ||||||
4.50% due 11/01/2045 | 126,286 | 144,563 | ||||||
4.50% due 08/01/2048 | 106,667 | 121,317 | ||||||
5.00% due 02/01/2040 | 86,946 | 100,275 | ||||||
5.00% due 07/01/2041 | 106,849 | 124,296 | ||||||
5.00% due 02/01/2044 | 101,615 | 118,254 | ||||||
6.00% due 05/01/2031 | 3,250 | 3,801 | ||||||
6.50% due 09/01/2024 | 4,064 | 4,545 | ||||||
6.50% due 09/01/2025 | 1,302 | 1,456 | ||||||
6.50% due 11/01/2025 | 2,298 | 2,571 | ||||||
6.50% due 05/01/2026 | 5,919 | 6,620 | ||||||
6.50% due 11/01/2027 | 116 | 130 | ||||||
6.50% due 01/01/2032 | 2,769 | 3,097 | ||||||
7.00% due 05/01/2029 | 2,910 | 3,314 | ||||||
7.00% due 09/01/2029 | 4,207 | 4,273 | ||||||
7.00% due 01/01/2031 | 1,651 | 1,780 | ||||||
7.50% due 01/01/2031 | 4,647 | 5,060 | ||||||
Federal National Mtg. Assoc. REMIC VRS | 175,782 | 9,723 | ||||||
Federal National Mtg. Assoc. REMIC | 223,706 | 11,922 | ||||||
Series 2017-54, Class IO 3.00% due 07/25/2032(3)(5) | 234,556 | 19,393 | ||||||
Series 2016-62, Class IA 3.00% due 10/25/2040(3)(5) | 231,460 | 10,310 | ||||||
Series 2016-92, Class A 3.00% due 04/25/2042(3) | 52,125 | 53,469 | ||||||
Series 2016-100, Class DA 3.00% due 02/25/2043(3) | 45,514 | 47,307 | ||||||
Series 2018-12, Class P 3.00% due 03/25/2046(3) | 19,661 | 20,433 | ||||||
Series 2016-4, Class LI 3.50% due 02/25/2036(3)(5) | 295,486 | 31,624 | ||||||
Series 2015-20, Class EH 3.50% due 11/25/2042(3) | 200,000 | 216,855 | ||||||
Series 2017-66, Class C 3.50% due 08/25/2045(3) | 60,000 | 65,592 | ||||||
Series 2015-18, Class IA 4.50% due 04/25/2045(3)(5) | 247,750 | 42,181 | ||||||
Series 2002-16, Class TM 7.00% due 04/25/2032(3) | 50,115 | 59,259 | ||||||
|
| |||||||
7,634,325 | ||||||||
|
| |||||||
Government National Mtg. Assoc. — 1.7% | ||||||||
3.00% due 02/15/2043 | 115,675 | 125,599 | ||||||
3.00% due 07/20/2045 | 196,775 | 207,940 | ||||||
3.00% due 07/20/2046 | 57,124 | 60,345 | ||||||
3.00% due 08/20/2046 | 122,758 | 129,918 | ||||||
3.00% due 09/20/2046 | 150,319 | 159,033 | ||||||
3.00% due 12/20/2046 | 75,900 | 80,267 | ||||||
3.00% due 02/20/2047 | 90,253 | 94,584 | ||||||
3.00% due 08/20/2047 | 61,347 | 64,575 | ||||||
3.50% due 09/15/2042 | 85,759 | 91,413 | ||||||
3.50% due 05/15/2043 | 46,837 | 50,961 | ||||||
3.50% due 09/20/2045 | 98,737 | 109,411 | ||||||
3.50% due 06/20/2046 | 118,561 | 130,208 | ||||||
3.50% due 04/20/2047 | 112,366 | 119,800 | ||||||
3.50% due 05/20/2047 | 75,095 | 80,989 | ||||||
3.50% due 11/20/2047 | 77,370 | 82,656 | ||||||
3.50% due 02/20/2048 | 127,581 | 135,839 | ||||||
4.00% due 10/20/2044 | 104,163 | 114,310 | ||||||
4.00% due 07/20/2047 | 66,374 | 71,455 | ||||||
4.00% due 01/20/2048 | 211,172 | 231,911 | ||||||
4.50% due 05/15/2039 | 28,627 | 31,864 | ||||||
5.50% due 07/20/2033 | 50,930 | 60,401 | ||||||
6.00% due 07/20/2033 | 35,211 | 40,481 | ||||||
6.50% due 12/15/2023 | 4,436 | 4,902 | ||||||
6.50% due 03/20/2027 | 354 | 355 | ||||||
6.50% due 04/20/2027 | 5,139 | 5,394 | ||||||
7.00% due 12/15/2022 | 855 | 858 | ||||||
7.00% due 12/15/2023 | 710 | 751 | ||||||
7.00% due 04/15/2028 | 7,236 | 7,418 | ||||||
7.50% due 09/15/2030 | 3,499 | 3,637 | ||||||
7.50% due 01/15/2031 | 4,782 | 5,208 | ||||||
Government National Mtg. Assoc. REMIC VRS | ||||||||
Series 2013-101, Class IO 0.41% due 10/16/2054(2)(4)(5) | 1,705,678 | 31,853 | ||||||
Series 2013-57, Class IO 0.56% due 06/16/2054(2)(4)(5) | 1,605,161 | 23,694 | ||||||
Series 2014-135, Class IO 0.71% due 01/16/2056(2)(4)(5) | 455,167 | 15,126 | ||||||
Series 2013-40, Class IO 0.73% due 06/16/2054(2)(4)(5) | 838,431 | 24,655 | ||||||
Series 2013-30, Class IO 0.75% due 09/16/2053(2)(4)(5) | 1,116,806 | 35,197 | ||||||
Series 2018-25, Class IO 0.90% due 06/16/2045(2)(4)(5) | 757,885 | 29,116 | ||||||
Government National Mtg. Assoc. REMIC | ||||||||
Series 2017-51, Class AH 2.60% due 05/16/2059(4) | 81,704 | 86,080 | ||||||
Series 2017-190, Class AD 2.60% due 03/16/2060(4) | 79,375 | 83,584 | ||||||
Series 2018-155, Class LM 3.50% due 11/20/2045(3) | 70,000 | 73,864 | ||||||
Series 2017-87, Class IO 4.00% due 01/20/2046(3)(5) | 124,843 | 9,852 |
Government National Mtg. Assoc. REMIC FRS | 231,300 | 41,504 | ||||||
|
| |||||||
2,757,008 | ||||||||
|
| |||||||
Total U.S. Government Agencies |
| |||||||
(cost $13,963,694) |
| 14,236,336 | ||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES - 0.5% | ||||||||
United States Treasury Bonds - 0.4% | ||||||||
2.25% due 08/15/2046 | 250,000 | 295,918 | ||||||
3.00% due 11/15/2044 | 250,000 | 334,717 | ||||||
|
| |||||||
630,635 | ||||||||
|
| |||||||
United States Treasury Notes - 0.1% | ||||||||
2.13% due 12/31/2022 | 80,000 | 83,575 | ||||||
3.13% due 05/15/2021 | 100,000 | 101,875 | ||||||
|
| |||||||
185,450 | ||||||||
|
| |||||||
Total U.S. Government Treasuries |
| |||||||
(cost $707,373) |
| 816,085 | ||||||
|
| |||||||
LOANS(7)(8)(9) - 0.4% | ||||||||
Computer Software - 0.3% | ||||||||
Ivanti Software, Inc. FRS | 500,000 | 482,500 | ||||||
|
| |||||||
Pipelines - 0.1% | ||||||||
BCP Renaissance Parent LLC FRS | 244,327 | 225,270 | ||||||
|
| |||||||
Total Loans | ||||||||
(cost $739,560) |
| 707,770 | ||||||
|
| |||||||
ESCROWS AND LITIGATION TRUSTS - 0.0% | ||||||||
GenON Energy, Inc. | 500,000 | 0 | ||||||
Washington Mutual Bank | 125,000 | 0 | ||||||
|
| |||||||
Total Escrows and Litigation Trusts | ||||||||
(cost $125,000) |
| 0 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| |||||||
(cost $136,603,340) |
| 158,730,437 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 0.4% | ||||||||
U.S. Government Treasuries - 0.4% | ||||||||
0.09% due 10/15/2020 | 500,000 | 499,985 | ||||||
0.13% due 10/15/2020 | 200,000 | 199,994 | ||||||
|
| |||||||
Total Short-Term Investment Securities | ||||||||
(cost $699,972) |
| 699,979 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 1.8% | ||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 09/30/2020, to be repurchased 10/01/2020 in the amount of $2,880,000 and collateralized by $2,362,700 of United States Treasury Notes, bearing interest at 2.38% due 11/15/2049 and having an approximate value of $2,937,685 | 2,880,000 | 2,880,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $140,183,312) | 99.9 | % | 162,310,416 | |||||
Other assets less liabilities | 0.1 | 91,325 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 162,401,741 | ||||
|
|
|
|
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $8,554,834 representing 5.3% of net assets. |
(1) | Perpetual maturity - maturity date reflects the next call date. |
(2) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | Collateralized Mortgage Obligation |
(4) | Commercial Mortgage Backed Security |
(5) | Interest Only |
(6) | Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at September 30, 2020. |
(7) | The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. |
(8) | Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
(9) | All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated. |
(10) | Securities classified as Level 3 (see Note 1). |
(11) | Security in default of interest. |
(12) | Company has filed for bankruptcy protection. |
(13) | Company has entered into a forbearance agreement under which consenting lenders extended the date by which specified payments otherwise would be due and payable to a subsequent date, subject to certain conditions. |
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
REMIC - Real Estate Mortgage Investment Conduit
STRIPS - Separate trading of registered interest and principal of securities
TIPS - Treasury Inflated Protected Securities
FRS - Floating Rate Security
VRS - Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 2020 and unless noted otherwise, the dates are the original maturity dates.
Index Legend
1 ML - 1 Month USD LIBOR
3 ML - 3 Month USD LIBOR
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2- Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 90,005,250 | $ | 243,792 | ** | $ | — | $ | 90,249,042 | |||||||
Exchange-Traded Funds | 13,990,649 | — | — | 13,990,649 | ||||||||||||
Preferred Securities/Capital Securities | — | 256,325 | — | 256,325 | ||||||||||||
Asset Backed Securities | — | 5,018,607 | — | 5,018,607 | ||||||||||||
U.S. Corporate Bonds & Notes | — | 31,692,968 | — | 31,692,968 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 1,762,655 | — | 1,762,655 | ||||||||||||
U.S. Government Agencies | — | 14,236,336 | — | 14,236,336 | ||||||||||||
U.S. Government Treasuries | — | 816,085 | — | 816,085 | ||||||||||||
Loans | — | 707,770 | — | 707,770 | ||||||||||||
Escrows and Litigation Trusts | — | — | 0 | 0 | ||||||||||||
Short-Term Investment Securities | — | 699,979 | — | 699,979 | ||||||||||||
Repurchase Agreements | — | 2,880,000 | — | 2,880,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 103,995,899 | $ | 58,314,517 | $ | 0 | $ | 162,310,416 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 1). |
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
Anchor Series Trust SA Wellington Capital Appreciation Portfolio
PORTFOLIO OF INVESTMENTS - September 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 99.8% |
| |||||||
Applications Software - 1.2% |
| |||||||
ServiceNow, Inc.† | 42,431 | $ | 20,579,035 | |||||
|
| |||||||
Athletic Equipment - 1.9% |
| |||||||
Peloton Interactive, Inc., Class A† | 329,036 | 32,653,533 | ||||||
|
| |||||||
Beverages-Non-alcoholic - 1.8% |
| |||||||
Monster Beverage Corp.† | 391,097 | 31,365,979 | ||||||
|
| |||||||
Brewery - 1.7% |
| |||||||
Constellation Brands, Inc., Class A | 159,132 | 30,157,105 | ||||||
|
| |||||||
Building-Mobile Home/Manufactured Housing - 1.1% |
| |||||||
Thor Industries, Inc. | 199,093 | 18,965,599 | ||||||
|
| |||||||
Commercial Services - 1.9% |
| |||||||
CoStar Group, Inc.† | 39,319 | 33,362,565 | ||||||
|
| |||||||
Commercial Services-Finance - 7.2% |
| |||||||
PayPal Holdings, Inc.† | 336,931 | 66,385,515 | ||||||
Square, Inc., Class A† | 357,434 | 58,100,897 | ||||||
|
| |||||||
124,486,412 | ||||||||
|
| |||||||
Communications Software - 1.2% |
| |||||||
RingCentral, Inc., Class A† | 72,750 | 19,977,877 | ||||||
|
| |||||||
Computer Services - 1.0% |
| |||||||
Leidos Holdings, Inc. | 195,392 | 17,419,197 | ||||||
|
| |||||||
Computer Software - 2.2% |
| |||||||
Splunk, Inc.† | 205,461 | 38,653,378 | ||||||
|
| |||||||
Computers - 8.7% |
| |||||||
Apple, Inc. | 1,300,075 | 150,561,686 | ||||||
|
| |||||||
Data Processing/Management - 1.0% |
| |||||||
Fair Isaac Corp.† | 39,002 | 16,590,671 | ||||||
|
| |||||||
Dental Supplies & Equipment - 1.8% |
| |||||||
Align Technology, Inc.† | 94,345 | 30,884,779 | ||||||
|
| |||||||
Diagnostic Equipment - 3.3% |
| |||||||
Danaher Corp. | 124,106 | 26,723,745 | ||||||
Thermo Fisher Scientific, Inc. | 67,260 | 29,696,635 | ||||||
|
| |||||||
56,420,380 | ||||||||
|
| |||||||
Distribution/Wholesale - 1.0% |
| |||||||
Copart, Inc.† | 157,630 | 16,576,371 | ||||||
|
| |||||||
Diversified Manufacturing Operations - 1.1% |
| |||||||
Trane Technologies PLC | 156,019 | 18,917,304 | ||||||
|
| |||||||
Drug Delivery Systems - 1.7% |
| |||||||
DexCom, Inc.† | 72,113 | 29,727,142 | ||||||
|
| |||||||
E-Commerce/Products - 5.5% |
| |||||||
Amazon.com, Inc.† | 30,217 | 95,145,174 | ||||||
|
| |||||||
E-Commerce/Services - 4.1% |
| |||||||
Booking Holdings, Inc.† | 17,517 | 29,965,981 | ||||||
Match Group, Inc.† | 247,901 | 27,430,246 | ||||||
Uber Technologies, Inc.† | 387,172 | 14,124,035 | ||||||
|
| |||||||
71,520,262 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 8.7% |
| |||||||
Advanced Micro Devices, Inc.† | 558,967 | 45,829,704 | ||||||
Marvell Technology Group, Ltd. | 610,812 | 24,249,236 | ||||||
NVIDIA Corp. | 147,344 | 79,745,520 | ||||||
|
| |||||||
149,824,460 | ||||||||
|
| |||||||
Electronic Measurement Instruments - 0.9% |
| |||||||
Fortive Corp. | 195,901 | 14,929,615 | ||||||
|
| |||||||
Enterprise Software/Service - 4.7% |
| |||||||
Guidewire Software, Inc.† | 215,580 | 22,478,527 | ||||||
Paycom Software, Inc.† | 13,657 | 4,251,424 | ||||||
Workday, Inc., Class A† | 249,381 | 53,649,334 | ||||||
|
| |||||||
80,379,285 | ||||||||
|
| |||||||
Food-Catering - 0.8% |
| |||||||
Aramark | 538,504 | 14,243,431 | ||||||
|
| |||||||
Healthcare Safety Devices - 1.5% |
| |||||||
Tandem Diabetes Care, Inc.† | 234,828 | 26,652,978 | ||||||
|
| |||||||
Internet Content-Entertainment - 5.7% |
| |||||||
Facebook, Inc., Class A† | 150,108 | 39,313,285 | ||||||
Snap, Inc., Class A† | 1,211,374 | 31,628,975 | ||||||
Spotify Technology SA† | 94,625 | 22,953,187 | ||||||
Twitter, Inc.† | 81,700 | 3,635,650 | ||||||
|
| |||||||
97,531,097 | ||||||||
|
| |||||||
Internet Gambling - 2.5% |
| |||||||
DraftKings, Inc., Class A† | 302,463 | 17,796,923 | ||||||
DraftKings, Inc., Class A Lock-up Shares†(3) | 447,778 | 26,202,889 | ||||||
|
| |||||||
43,999,812 | ||||||||
|
| |||||||
Medical Instruments - 1.4% |
| |||||||
Intuitive Surgical, Inc.† | 33,300 | 23,627,682 | ||||||
|
| |||||||
Medical Products - 1.6% |
| |||||||
ABIOMED, Inc.† | 69,806 | 19,340,450 | ||||||
Novocure, Ltd.† | 77,603 | 8,637,990 | ||||||
|
| |||||||
27,978,440 | ||||||||
|
| |||||||
Medical-Biomedical/Gene - 4.3% |
| |||||||
Argenx SE ADR† | 42,979 | 11,282,847 | ||||||
Ascendis Pharma A/S ADR† | 43,792 | 6,757,981 | ||||||
Biogen, Inc.† | 26,910 | 7,633,829 | ||||||
Exact Sciences Corp.† | 475,539 | 48,481,201 | ||||||
|
| |||||||
74,155,858 | ||||||||
|
| |||||||
Medical-Drugs - 2.3% |
| |||||||
AstraZeneca PLC ADR | 275,492 | 15,096,962 | ||||||
Galapagos NV† | 138,537 | 19,686,234 | ||||||
Galapagos NV ADR† | 9,300 | 1,319,763 | ||||||
Reata Pharmaceuticals, Inc., Class A† | 31,987 | 3,116,173 | ||||||
|
| |||||||
39,219,132 | ||||||||
|
| |||||||
Patient Monitoring Equipment - 1.5% |
| |||||||
Insulet Corp.† | 110,799 | 26,213,935 | ||||||
|
| |||||||
Private Equity - 0.8% |
| |||||||
Blackstone Group, Inc., Class A | 255,679 | 13,346,444 | ||||||
|
| |||||||
Racetracks - 1.1% |
| |||||||
Penn National Gaming, Inc.† | 258,734 | 18,809,962 | ||||||
|
| |||||||
Recreational Vehicles - 0.8% |
| |||||||
Polaris, Inc. | 148,982 | 14,054,962 | ||||||
|
| |||||||
Retail-Building Products - 2.2% |
| |||||||
Lowe’s Cos., Inc. | 225,666 | 37,428,963 | ||||||
|
| |||||||
Retail-Major Department Stores - 2.3% |
| |||||||
TJX Cos., Inc. | 701,139 | 39,018,385 | ||||||
|
| |||||||
Retail-Restaurants - 3.1% |
| |||||||
McDonald’s Corp. | 240,718 | 52,835,194 | ||||||
|
| |||||||
Schools - 0.5% |
| |||||||
2U, Inc.† | 232,422 | 7,869,809 | ||||||
|
| |||||||
Specified Purpose Acquisitions - 0.8% |
| |||||||
Churchill Capital Corp. III, Class A† | 1,404,742 | 14,398,605 | ||||||
|
|
Theaters - 0.2% |
| |||||||
Live Nation Entertainment, Inc.† | 64,103 | 3,453,870 | ||||||
|
| |||||||
Transport-Services - 1.0% |
| |||||||
FedEx Corp. | 71,813 | 18,062,406 | ||||||
|
| |||||||
Veterinary Diagnostics - 0.9% |
| |||||||
Elanco Animal Health, Inc.† | 535,020 | 14,943,109 | ||||||
|
| |||||||
Web Hosting/Design - 0.8% |
| |||||||
GoDaddy, Inc., Class A† | 172,674 | 13,118,044 | ||||||
|
| |||||||
Total Common Stocks | ||||||||
(cost $1,191,433,595) |
| 1,720,059,927 | ||||||
|
| |||||||
CONVERTIBLE PREFERRED SECURITIES - 0.5% |
| |||||||
Advertising Services - 0.0% |
| |||||||
Nanigans, Inc., Series B†(1)(3) | 126,818 | 48,191 | ||||||
|
| |||||||
Applications Software - 0.1% |
| |||||||
Magic Leap, Inc., Series C†(1)(3) | 93,690 | 647,552 | ||||||
|
| |||||||
E-Commerce/Products - 0.2% |
| |||||||
One Kings Lane Inc., Escrow†(1) | 291,563 | 46,650 | ||||||
Honest Co., Inc., Series C†(1)(3) | 97,634 | 3,456,244 | ||||||
|
| |||||||
3,502,894 | ||||||||
|
| |||||||
E-Commerce/Services - 0.2% |
| |||||||
Airbnb, Inc., Series E†(1)(3) | 46,491 | 3,955,299 | ||||||
|
| |||||||
Total Convertible Preferred Securities | ||||||||
(cost $10,585,279) |
| 8,153,936 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 0.2% |
| |||||||
iShares Russell 1000 Growth ETF | 13,695 | 2,970,309 | ||||||
|
| |||||||
Total Long-Term Investment Securities | ||||||||
(cost $1,204,960,583) |
| 1,731,184,172 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 1.8% |
| |||||||
Bank of America Securities LLC Joint Repurchase Agreement(2) | $ | 6,555,000 | 6,555,000 | |||||
Barclays Capital, Inc. Joint Repurchase Agreement(2) | 5,900,000 | 5,900,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(2) | 5,900,000 | 5,900,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(2) | 6,540,000 | 6,540,000 | ||||||
RBS Securities, Inc. Joint Repurchase Agreement(2) | 6,235,000 | 6,235,000 | ||||||
|
| |||||||
Total Repurchase Agreements | ||||||||
(cost $31,130,000) |
| 31,130,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $1,236,090,583) | 102.3 | % | 1,762,314,172 | |||||
Liabilities in excess of other assets | (2.3 | ) | (39,350,831 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,722,963,341 | ||||
|
|
|
|
† | Non-income producing security |
(1) | Securities classified as Level 3 (see Note 1). |
(2) | See Note 2 for details of Joint Repurchase Agreements. |
(3) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2020, the Portfolio held the following restricted securities: |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
DraftKings, Inc., Class A Lock-up Shares | 07/13/2015 | 439,917 | $ | 4,687,093 | ||||||||||||||||||||
04/27/2020 | 4,743 | 0 | ||||||||||||||||||||||
05/27/2020 | 3,118 | 35,857 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
447,778 | 4,722,950 | $ | 26,202,889 | $ | 58.52 | 1.52 | % | |||||||||||||||||
Convertible Preferred Securities | ||||||||||||||||||||||||
Airbnb, Inc., Series E | 06/24/2015 | 46,491 | 4,328,052 | 3,955,299 | 85.08 | 0.23 | ||||||||||||||||||
Honest Co., Inc., Series C | 08/20/2014 | 97,634 | 2,641,712 | 3,456,244 | 35.40 | 0.20 | ||||||||||||||||||
Magic Leap, Inc., Series C | 12/28/2015 | 93,690 | 2,157,962 | 647,552 | 6.91 | 0.04 | ||||||||||||||||||
Nanigans, Inc., Series B | 03/16/2015 | 126,818 | 1,384,662 | 48,191 | 0.38 | 0.00 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 34,310,175 | 1.99 | % | |||||||||||||||||||||
|
|
|
|
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Internet Gambling | $ | 17,796,923 | $ | 26,202,889 | $ | — | 43,999,812 | |||||||||
Other Industries | 1,676,060,115 | — | — | 1,676,060,115 | ||||||||||||
Convertible Preferred Securities | — | — | 8,153,936 | 8,153,936 | ||||||||||||
Exchange-Traded Funds | 2,970,309 | — | — | 2,970,309 | ||||||||||||
Repurchase Agreements | — | 31,130,000 | — | 31,130,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 1,696,827,347 | $ | 57,332,889 | $ | 8,153,936 | $ | 1,762,314,172 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Common Stocks | Convertible Preferred Securities | |||||||
Balance as of 12/31/2019 | $ | 4,922,424 | $ | 11,276,400 | ||||
Accrued discounts | — | — | ||||||
Accrued premiums | — | — | ||||||
Realized Gain | 1,932,898 | — | ||||||
Realized Loss | — | — | ||||||
Change in unrealized appreciation(1) | 22,013,110 | 240,180 | ||||||
Change in unrealized depreciation(1) | — | (3,362,644 | ) | |||||
Net Purchases | — | — | ||||||
Net Sales | (2,665,543 | ) | — | |||||
Transfers into Level 3 | — | — | ||||||
Transfers out of Level 3(2) | (26,202,889 | ) | — | |||||
|
|
|
| |||||
Balance as of 09/30/2020 | $ | 0 | $ | 8,153,936 | ||||
|
|
|
|
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2020 includes: |
Common Stocks | Convertible Preferred Securities | |||||||
$ | — | $ | (3,122,464 | ) | ||||
|
|
|
|
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at September 30, 2020.
(2) | Common Stocks were converted to Common Stocks and Warrants upon the Company’s public listing. Securities are now valued using Level 2 inputs. |
At the end of the reporting period, Level 3 investments in securities were not considered material portion of the portfolio.
See Notes to Portfolio of Investments
Anchor Series Trust SA Wellington Government and Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS - September 30, 2020 - (unaudited)
Security Description | Principal Amount | Value (Note 1) | ||||||
ASSET BACKED SECURITIES - 6.2% |
| |||||||
Diversified Financial Services - 6.2% | ||||||||
Aaset Trust | $ | 798,274 | $ | 743,872 | ||||
Ajax Mtg. Loan Trust VRS | 3,467,213 | 3,457,732 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 123,158 | 123,313 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 1,030,986 | 1,041,276 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 1,079,196 | 1,094,062 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 940,143 | 961,158 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 1,832,073 | 1,870,447 | ||||||
ARI Fleet Lease Trust | 173,586 | 174,123 | ||||||
ARI Fleet Lease Trust | 709,994 | 717,877 | ||||||
Bayview Koitere Fund Trust VRS | 1,536,311 | 1,590,998 | ||||||
Benefit Street Partners, Ltd. FRS | 795,000 | 786,372 | ||||||
Canadian Pacer Auto Receivables Trust | 192,557 | 195,499 | ||||||
Castlelake Aircraft Structured Trust | 1,055,706 | 977,011 | ||||||
CF Hippolyta LLC | 3,240,000 | 3,276,615 | ||||||
Chesapeake Funding II LLC | 1,700,184 | 1,704,979 | ||||||
Chesapeake Funding II LLC | 325,626 | 326,422 | ||||||
Chesapeake Funding II LLC | 1,327,404 | 1,337,289 | ||||||
Chesapeake Funding II LLC | 991,213 | 1,005,594 | ||||||
Cloud Pass-Through Trust VRS | 723,734 | 735,232 | ||||||
COLT Mtg. Loan Trust VRS | 1,795,367 | 1,815,031 | ||||||
COLT Mtg. Loan Trust VRS | 326,498 | 329,489 | ||||||
COLT Mtg. Loan Trust VRS | 219,573 | 222,444 | ||||||
Columbia Cent, Ltd. FRS | 1,820,000 | 1,811,129 | ||||||
COMM Mtg. Trust | 1,020,000 | 1,053,623 | ||||||
Deephaven Residential Mtg. Trust VRS | 193,510 | 195,813 | ||||||
Deephaven Residential Mtg. Trust VRS | 431,356 | 434,002 | ||||||
Deephaven Residential Mtg. Trust VRS | 379,998 | 384,418 | ||||||
Enterprise Fleet Financing LLC | 1,434,779 | 1,459,962 | ||||||
Enterprise Fleet Financing LLC | 27,512 | 27,537 | ||||||
Enterprise Fleet Financing LLC | 406,123 | 408,286 | ||||||
Enterprise Fleet Financing LLC | 1,154,194 | 1,172,726 | ||||||
Exeter Automobile Receivables Trust | 441,135 | 443,031 | ||||||
First Investors Auto Owner Trust | 12,119 | 12,128 | ||||||
Ford Credit Floorplan Master Owner Trust | 1,525,000 | 1,620,099 | ||||||
GreatAmerica Leasing Receivables Funding LLC | 215,290 | 215,747 | ||||||
GreatAmerica Leasing Receivables Funding LLC | 820,000 | 834,051 | ||||||
Hertz Fleet Lease Funding LP | 2,374,101 | 2,408,238 |
Horizon Aircraft Finance, Ltd. | 783,709 | 718,532 | ||||||
Horizon Aircraft Finance, Ltd. | 452,598 | 422,587 | ||||||
MACH 1, Ltd. | 519,896 | 472,880 | ||||||
Madison Park Funding, Ltd. FRS | 8,000,000 | 7,862,328 | ||||||
Madison Park Funding, Ltd. FRS | 4,300,000 | 4,292,522 | ||||||
Magnetite, Ltd. FRS | 5,535,000 | 5,479,124 | ||||||
Magnetite, Ltd. FRS | 2,878,000 | 2,859,811 | ||||||
Master Credit Card Trust FRS | 4,730,000 | 4,734,287 | ||||||
MetLife Securitization Trust VRS | 1,070,119 | 1,129,383 | ||||||
Mill City Mtg. Loan Trust VRS | 285,069 | 288,955 | ||||||
Mill City Mtg. Loan Trust VRS | 1,104,887 | 1,138,124 | ||||||
MMAF Equipment Finance LLC | 690,613 | 695,505 | ||||||
MMAF Equipment Finance LLC | 2,960,000 | 3,171,279 | ||||||
OneMain Direct Auto Receivables Trust | 3,194,030 | 3,234,309 | ||||||
Santander Retail Auto Lease Trust | 427,430 | 429,890 | ||||||
Securitized Term Auto Receivables Trust | 3,906,205 | 3,952,930 | ||||||
SFAVE Commercial Mtg. Securities Trust VRS | 2,340,000 | 2,164,407 | ||||||
SoFi Consumer Loan Program Trust | 1,608,944 | 1,626,120 | ||||||
SoFi Consumer Loan Program Trust | 636,897 | 641,351 | ||||||
Sound Point Ltd. FRS | 4,700,000 | 4,650,796 | ||||||
Springleaf Funding Trust | 635,453 | 638,160 | ||||||
STARR II | 573,898 | 534,966 | ||||||
STARR III | 42,407 | 39,027 | ||||||
Thacher Park Ltd. FRS | 1,275,787 | 1,273,474 | ||||||
Towd Point Mtg. Trust VRS | 721,472 | 730,152 | ||||||
Towd Point Mtg. Trust VRS | 1,815,028 | 1,881,738 | ||||||
Towd Point Mtg. Trust VRS | 921,349 | 961,106 | ||||||
Treman Park Ltd. FRS | 5,995,000 | 5,967,513 | ||||||
Utility Debt Securitization Authority | 1,695,000 | 1,786,666 | ||||||
Vantage Data Centers Issuer LLC | 781,442 | 797,516 | ||||||
Vantage Data Centers Issuer LLC | 1,641,471 | 1,697,953 | ||||||
Vantage Data Centers LLC | 3,280,000 | 3,280,000 | ||||||
Verus Securitization Trust VRS | 1,051,269 | 1,075,015 | ||||||
Westlake Automobile Receivables Trust | 1,235,217 | 1,244,300 | ||||||
|
| |||||||
Total Asset Backed Securities |
| 108,840,331 | ||||||
|
|
U.S. CORPORATE BONDS & NOTES - 15.3% | ||||||||
Apparel Manufacturers - 0.4% | ||||||||
VF Corp. | 995,000 | 1,086,913 | ||||||
VF Corp. | 5,740,000 | 6,249,258 | ||||||
|
| |||||||
7,336,171 | ||||||||
|
| |||||||
Auto-Cars/Light Trucks - 0.2% | ||||||||
Daimler Finance North America LLC | 2,910,000 | 2,927,859 | ||||||
|
| |||||||
Banks-Commercial - 0.5% | ||||||||
BB&T Corp. | 4,700,000 | 4,889,671 | ||||||
BB&T Corp. | 3,580,000 | 3,667,683 | ||||||
PNC Bank NA | 865,000 | 949,814 | ||||||
|
| |||||||
9,507,168 | ||||||||
|
| |||||||
Banks-Fiduciary - 0.2% | ||||||||
Bank of New York Mellon Corp. | 2,250,000 | 2,359,863 | ||||||
State Street Corp. | 1,495,000 | 1,547,848 | ||||||
|
| |||||||
3,907,711 | ||||||||
|
| |||||||
Banks-Super Regional - 0.9% | ||||||||
PNC Financial Services Group, Inc. | 3,330,000 | 3,606,935 | ||||||
US Bancorp | 400,000 | 524,572 | ||||||
Wells Fargo & Co. | 3,000,000 | 3,027,702 | ||||||
Wells Fargo & Co. | 2,760,000 | 2,897,480 | ||||||
Wells Fargo & Co. | 1,780,000 | 1,945,703 | ||||||
Wells Fargo & Co. | 735,000 | 758,095 | ||||||
Wells Fargo & Co. | 1,770,000 | 1,875,861 | ||||||
Wells Fargo & Co. | 585,000 | 713,879 | ||||||
|
| |||||||
15,350,227 | ||||||||
|
| |||||||
Beverages-Non-alcoholic - 0.1% | ||||||||
PepsiCo, Inc. | 865,000 | 1,092,158 | ||||||
|
| |||||||
Brewery - 0.1% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 1,725,000 | 2,056,969 | ||||||
|
| |||||||
Cable/Satellite TV - 0.7% | ||||||||
Comcast Corp. | 1,790,000 | 1,711,149 | ||||||
Comcast Corp. | 2,695,000 | 2,905,857 | ||||||
Comcast Corp. | 2,535,000 | 2,909,657 | ||||||
Comcast Corp. | 1,524,000 | 1,821,771 | ||||||
Comcast Corp. | 200,000 | 248,502 | ||||||
Comcast Corp. | 1,300,000 | 1,661,592 | ||||||
Comcast Corp. | 939,000 | 1,237,161 | ||||||
|
| |||||||
12,495,689 | ||||||||
|
| |||||||
Cellular Telecom - 0.2% | ||||||||
Crown Castle Towers LLC | 3,550,000 | 3,601,818 | ||||||
|
| |||||||
Computer Services - 0.4% | ||||||||
International Business Machines Corp. | 3,300,000 | 3,404,528 | ||||||
International Business Machines Corp. | 3,775,000 | 4,350,890 | ||||||
|
| |||||||
7,755,418 | ||||||||
|
| |||||||
Computers - 0.2% | ||||||||
Apple, Inc. | 1,050,000 | 1,180,433 | ||||||
Apple, Inc. | 1,815,000 | 2,000,597 | ||||||
|
| |||||||
3,181,030 | ||||||||
|
|
Cosmetics & Toiletries - 0.0% | ||||||||
Estee Lauder Cos., Inc. | 530,000 | 570,089 | ||||||
|
| |||||||
Diversified Banking Institutions - 2.4% | ||||||||
Bank of America Corp. | 1,547,000 | 1,624,033 | ||||||
Bank of America Corp. | 5,015,000 | 5,517,331 | ||||||
Bank of America Corp. | 2,245,000 | 2,521,267 | ||||||
Bank of America Corp. | 2,645,000 | 3,065,010 | ||||||
Bank of America Corp. | 2,200,000 | 2,436,706 | ||||||
Goldman Sachs Group, Inc. | 2,075,000 | 2,245,955 | ||||||
Goldman Sachs Group, Inc. | 2,565,000 | 2,919,267 | ||||||
JPMorgan Chase & Co. | 6,700,000 | 8,055,373 | ||||||
JPMorgan Chase & Co. | 1,080,000 | 1,550,814 | ||||||
Morgan Stanley | 4,975,000 | 5,637,969 | ||||||
Morgan Stanley | 6,125,000 | 6,759,176 | ||||||
|
| |||||||
42,332,901 | ||||||||
|
| |||||||
E-Commerce/Products - 0.1% | ||||||||
Amazon.com, Inc. | 660,000 | 714,349 | ||||||
Amazon.com, Inc. | 1,000,000 | 1,378,648 | ||||||
|
| |||||||
2,092,997 | ||||||||
|
| |||||||
Electric-Distribution - 0.4% | ||||||||
Mid-Atlantic Interstate Transmission LLC | 3,646,000 | 4,120,190 | ||||||
Oglethorpe Power Corp. | 3,200,000 | 3,863,693 | ||||||
|
| |||||||
7,983,883 | ||||||||
|
| |||||||
Electric-Integrated - 1.8% | ||||||||
Dominion Energy South Carolina, Inc. | 176,000 | 262,307 | ||||||
Evergy Metro, Inc. | 1,025,000 | 1,085,267 | ||||||
Florida Power & Light Co. | 3,815,000 | 4,182,652 | ||||||
Florida Power & Light Co. | 2,000,000 | 2,520,099 | ||||||
Georgia Power Co. | 1,905,000 | 2,118,234 | ||||||
Georgia Power Co. | 455,000 | 544,599 | ||||||
Georgia Power Co. | 625,000 | 769,420 | ||||||
Niagara Mohawk Power Corp. | 3,820,000 | 3,920,987 | ||||||
San Diego Gas & Electric Co. | 5,645,000 | 5,622,691 | ||||||
South Carolina Electric & Gas Co. | 265,000 | 345,231 | ||||||
South Carolina Electric & Gas Co. | 1,195,000 | 1,648,572 | ||||||
South Carolina Electric & Gas Co. | 2,400,000 | 3,477,142 | ||||||
Southern California Edison Co. | 885,000 | 902,283 | ||||||
Southern California Edison Co. | 430,000 | 476,642 | ||||||
Westar Energy, Inc. | 3,200,000 | 3,495,776 | ||||||
|
| |||||||
31,371,902 | ||||||||
|
| |||||||
Enterprise Software/Service - 0.3% | ||||||||
Oracle Corp. | 3,810,000 | 4,294,515 | ||||||
Oracle Corp. | 910,000 | 1,074,269 | ||||||
|
| |||||||
5,368,784 | ||||||||
|
|
Finance-Credit Card - 0.1% | ||||||||
Mastercard, Inc. | 1,925,000 | 2,194,299 | ||||||
|
| |||||||
Gas-Distribution - 0.7% | ||||||||
Boston Gas Co. | 995,000 | 1,094,821 | ||||||
Boston Gas Co. | 1,655,000 | 1,833,417 | ||||||
Brooklyn Union Gas Co. | 1,170,000 | 1,305,428 | ||||||
KeySpan Gas East Corp. | 3,525,000 | 3,876,892 | ||||||
Southern California Gas Co. | 3,610,000 | 3,899,588 | ||||||
|
| |||||||
12,010,146 | ||||||||
|
| |||||||
Insurance-Life/Health - 0.6% | ||||||||
Equitable Financial Life Global Funding | 3,405,000 | 3,417,711 | ||||||
Nationwide Financial Services, Inc. | 2,035,000 | 2,086,332 | ||||||
Principal Life Global Funding II | 4,000,000 | 4,337,144 | ||||||
|
| |||||||
9,841,187 | ||||||||
|
| |||||||
Insurance-Multi-line - 0.7% | ||||||||
Guardian Life Global Funding | 1,140,000 | 1,151,269 | ||||||
Metropolitan Life Global Funding I | 6,000,000 | 6,096,158 | ||||||
Metropolitan Life Global Funding I | 965,000 | 997,911 | ||||||
Metropolitan Life Global Funding I | 1,330,000 | 1,520,283 | ||||||
Nationwide Mutual Insurance Co. | 1,800,000 | 1,928,324 | ||||||
|
| |||||||
11,693,945 | ||||||||
|
| |||||||
Insurance-Mutual - 0.4% | ||||||||
Massachusetts Mutual Life Insurance Co. | 2,000,000 | 2,041,783 | ||||||
New York Life Global Funding | 4,655,000 | 4,988,275 | ||||||
Northwestern Mutual Life Insurance Co. | 294,000 | 320,944 | ||||||
|
| |||||||
7,351,002 | ||||||||
|
| |||||||
Medical Labs & Testing Services - 0.3% | ||||||||
Roche Holdings, Inc. | 5,080,000 | 5,470,929 | ||||||
|
| |||||||
Medical-Drugs - 0.3% | ||||||||
Merck & Co., Inc. | 1,130,000 | 1,204,836 | ||||||
Novartis Capital Corp. | 3,700,000 | 4,081,468 | ||||||
|
| |||||||
5,286,304 | ||||||||
|
| |||||||
Medical-HMO - 0.2% | ||||||||
UnitedHealth Group, Inc. | 1,155,000 | 1,210,200 | ||||||
UnitedHealth Group, Inc. | 1,165,000 | 1,329,698 | ||||||
UnitedHealth Group, Inc. | 825,000 | 1,051,861 | ||||||
|
| |||||||
3,591,759 | ||||||||
|
| |||||||
Medical-Hospitals - 1.2% | ||||||||
Ascension Health | 1,625,000 | 1,762,062 | ||||||
Children’s National Medical Center | 1,890,000 | 1,843,000 | ||||||
CommonSpirit Health | 4,000,000 | 4,376,117 | ||||||
Cottage Health Obligated Group | 695,000 | 771,532 | ||||||
Dignity Health | 1,242,000 | 1,322,277 | ||||||
Memorial Sloan-Kettering Cancer Center | 1,130,000 | 1,197,645 |
Mercy Health | 2,700,000 | 2,934,780 | ||||||
Mercy Health | 2,645,000 | 3,010,136 | ||||||
Stanford Health Care | 2,830,000 | 3,187,016 | ||||||
|
| |||||||
20,404,565 | ||||||||
|
| |||||||
Multimedia - 0.1% | ||||||||
NBCUniversal Media LLC | 826,000 | 1,058,691 | ||||||
|
| |||||||
Oil Companies-Integrated - 0.1% | ||||||||
Exxon Mobil Corp. | 845,000 | 913,367 | ||||||
|
| |||||||
Real Estate Investment Trusts - 0.5% | ||||||||
SBA Tower Trust | 810,000 | 827,990 | ||||||
SBA Tower Trust | 1,030,000 | 1,102,340 | ||||||
SBA Tower Trust | 1,495,000 | 1,576,450 | ||||||
Simon Property Group LP | 1,640,000 | 1,624,461 | ||||||
WEA Finance LLC | 3,175,000 | 3,268,617 | ||||||
|
| |||||||
8,399,858 | ||||||||
|
| |||||||
Rental Auto/Equipment - 0.2% | ||||||||
ERAC USA Finance LLC | 2,950,000 | 3,493,920 | ||||||
|
| |||||||
Retail-Major Department Stores - 0.3% | ||||||||
TJX Cos, Inc. | 2,000,000 | 2,372,221 | ||||||
TJX Cos, Inc. | 2,425,000 | 3,130,803 | ||||||
|
| |||||||
5,503,024 | ||||||||
|
| |||||||
Schools - 0.2% | ||||||||
President & Fellows of Harvard College | 890,000 | 924,099 | ||||||
Stanford University | 1,970,000 | 2,340,747 | ||||||
|
| |||||||
3,264,846 | ||||||||
|
| |||||||
Special Purpose Entity - 0.1% | ||||||||
Postal Square LP | 865,700 | 935,684 | ||||||
|
| |||||||
Telephone-Integrated - 0.2% | ||||||||
Verizon Communications, Inc. | 470,000 | 578,629 | ||||||
Verizon Communications, Inc. | 2,000,000 | 2,493,350 | ||||||
|
| |||||||
3,071,979 | ||||||||
|
| |||||||
Tobacco - 0.2% | ||||||||
Philip Morris International, Inc. | 3,000,000 | 3,268,532 | ||||||
|
| |||||||
Transport-Rail - 0.0% | ||||||||
Burlington Northern Santa Fe LLC | 500,000 | 652,225 | ||||||
|
| |||||||
Transport-Services - 0.0% | ||||||||
Federal Express Corp. | 540,430 | 556,942 | ||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes |
| 267,895,978 | ||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES - 7.8% | ||||||||
Banks-Commercial - 3.3% | ||||||||
Bank of Montreal | 4,000,000 | 4,110,337 | ||||||
Canadian Imperial Bank of Commerce FRS | 2,845,000 | 2,872,757 | ||||||
Canadian Imperial Bank of Commerce | 7,200,000 | 7,352,619 | ||||||
Credit Suisse AG | 860,000 | 884,209 | ||||||
Credit Suisse AG | 1,200,000 | 1,327,599 | ||||||
Danske Bank A/S | 1,350,000 | 1,453,493 | ||||||
DNB Bank ASA | 5,800,000 | 5,882,195 |
DNB Boligkreditt AS | 1,780,000 | 1,834,999 | ||||||
ING Groep NV | 2,045,000 | 2,343,204 | ||||||
National Australia Bank, Ltd. | 8,200,000 | 8,394,579 | ||||||
NBK SPC, Ltd. | 7,345,000 | 7,514,170 | ||||||
Standard Chartered PLC | 4,805,000 | 4,880,901 | ||||||
Swedbank AB | 5,000,000 | 5,051,750 | ||||||
Toronto-Dominion | 4,000,000 | 4,110,874 | ||||||
|
| |||||||
58,013,686 | ||||||||
|
| |||||||
Beverages-Wine/Spirits - 0.1% | ||||||||
Diageo Capital PLC | 965,000 | 995,256 | ||||||
|
| |||||||
Building Societies - 0.1% | ||||||||
Nationwide Building Society | 1,180,000 | 1,226,037 | ||||||
|
| |||||||
Diversified Banking Institutions - 2.5% | ||||||||
Bank of Nova Scotia | 6,570,000 | 7,195,870 | ||||||
BNP Paribas SA | 1,905,000 | 2,007,526 | ||||||
BNP Paribas SA | 390,000 | 404,102 | ||||||
BNP Paribas SA | 2,025,000 | 2,196,461 | ||||||
Credit Agricole SA | 5,165,000 | 5,579,282 | ||||||
Credit Agricole SA | 1,175,000 | 1,259,167 | ||||||
Credit Suisse Group AG FRS | 3,725,000 | 3,755,356 | ||||||
Credit Suisse Group AG | 2,655,000 | 2,964,732 | ||||||
HSBC Holdings PLC | 7,310,000 | 7,784,603 | ||||||
HSBC Holdings PLC | 1,160,000 | 1,218,119 | ||||||
HSBC Holdings PLC | 670,000 | 806,548 | ||||||
Macquarie Group, Ltd. | 4,745,000 | 5,086,736 | ||||||
Societe Generale SA | 1,355,000 | 1,393,776 | ||||||
UBS Group AG | 1,475,000 | 1,638,094 | ||||||
|
| |||||||
43,290,372 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 0.2% | ||||||||
Siemens Financieringsmaatschappij NV | 2,485,000 | 2,683,387 | ||||||
|
| |||||||
E-Commerce/Products - 0.3% | ||||||||
Alibaba Group Holding, Ltd. | 5,275,000 | 5,907,141 | ||||||
|
| |||||||
Insurance-Life/Health - 0.2% | ||||||||
AIA Group, Ltd. | 1,225,000 | 1,374,247 | ||||||
Prudential PLC | 2,460,000 | 2,731,853 | ||||||
|
| |||||||
4,106,100 | ||||||||
|
| |||||||
Internet Content-Information/News - 0.2% | ||||||||
Tencent Holdings, Ltd. | 2,240,000 | 2,466,165 | ||||||
Tencent Holdings, Ltd. | 1,255,000 | 1,426,471 | ||||||
|
| |||||||
3,892,636 | ||||||||
|
| |||||||
Investment Companies - 0.2% | ||||||||
Temasek Financial I, Ltd. | 2,650,000 | 2,604,322 | ||||||
|
| |||||||
Medical-Drugs - 0.1% | ||||||||
AstraZeneca PLC | 1,950,000 | 2,307,890 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.0% | ||||||||
BG Energy Capital PLC | 670,000 | 693,376 | ||||||
|
|
Oil Companies-Integrated - 0.5% | ||||||||
Equinor ASA | 6,990,000 | 7,701,650 | ||||||
Shell International Finance BV | 1,000,000 | 1,106,252 | ||||||
Statoil ASA | 211,000 | 220,400 | ||||||
|
| |||||||
9,028,302 | ||||||||
|
| |||||||
Real Estate Investment Trusts - 0.1% | ||||||||
Scentre Group Trust | 2,255,000 | 2,405,373 | ||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| 137,153,878 | ||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS - 1.0% | ||||||||
Electric-Distribution - 0.2% | ||||||||
Hydro-Quebec | 3,000,000 | 3,301,244 | ||||||
|
| |||||||
Sovereign - 0.8% | ||||||||
Kingdom of Saudi Arabia | 1,775,000 | 1,803,854 | ||||||
Kingdom of Saudi Arabia | 2,110,000 | 2,202,798 | ||||||
State of Qatar | 6,060,000 | 6,120,600 | ||||||
State of Qatar | 3,335,000 | 3,578,455 | ||||||
|
| |||||||
13,705,707 | ||||||||
|
| |||||||
Total Foreign Government Obligations |
| 17,006,951 | ||||||
|
| |||||||
MUNICIPAL BONDS & NOTES - 2.6% | ||||||||
Atlanta Downtown Development Authority | 705,000 | 720,616 | ||||||
Bay Area Toll Authority | 1,535,000 | 1,665,260 | ||||||
Bay Area Toll Authority | 430,000 | 771,295 | ||||||
California State University | 1,560,000 | 1,565,195 | ||||||
Chicago Transit Authority | 2,385,000 | 3,402,083 | ||||||
Chicago Transit Authority | 115,000 | 118,893 | ||||||
Chicago Transit Authority | 145,000 | 206,835 | ||||||
City of San Antonio, Texas Electric & Gas Systems | 885,000 | 1,328,013 | ||||||
County of Broward, Florida Airport System | 435,000 | 443,230 | ||||||
Dallas/Fort Worth International Airport | 425,000 | 422,799 | ||||||
Dallas/Fort Worth International Airport | 375,000 | 379,519 | ||||||
Florida State Board of Administration Finance Corp. | 2,895,000 | 2,937,296 | ||||||
Foothill-Eastern Transportation Corridor Agency | 2,670,000 | 2,855,485 | ||||||
Illinois Municipal Electric Agency | 1,910,000 | 2,649,781 | ||||||
Kansas Development Finance Authority | 805,000 | 918,320 | ||||||
Massachusetts School Building Authority | 710,000 | 763,598 | ||||||
Metropolitan Transportation Authority | 100,000 | 111,612 | ||||||
Metropolitan Transportation Authority | 815,000 | 1,032,483 |
Metropolitan Transportation Authority | 1,450,000 | 1,583,124 | ||||||
Municipal Electric Authority of Georgia | 1,451,000 | 2,160,655 | ||||||
Municipal Electric Authority of Georgia | 201,000 | 304,201 | ||||||
North Texas Tollway Authority | 880,000 | 1,515,738 | ||||||
Oregon School Boards Association | 2,800,000 | 3,224,788 | ||||||
Pennsylvania State University | 680,000 | 701,019 | ||||||
Philadelphia Authority for Industrial Development | 2,845,000 | 3,684,104 | ||||||
Sales Tax Securitization Corp. | 2,870,000 | 3,636,778 | ||||||
State of Connecticut | 750,000 | 776,625 | ||||||
State of Wisconsin | 2,045,000 | 2,418,683 | ||||||
University of California | 615,000 | 621,556 | ||||||
University of California | 1,030,000 | 1,032,184 | ||||||
University of California | 1,300,000 | 2,104,973 | ||||||
|
| |||||||
Total Municipal Bonds & Notes |
| 46,056,741 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES - 29.3% | ||||||||
Federal Home Loan Mtg. Corp. - 4.7% | ||||||||
2.50% due 10/01/2031 | 4,500,957 | 4,713,112 | ||||||
3.00% due 11/01/2046 | 24,849,192 | 26,656,768 | ||||||
3.00% due 12/01/2046 | 6,874,077 | 7,374,090 | ||||||
4.00% due 09/01/2026 | 452,780 | 481,262 | ||||||
4.00% due 12/01/2040 | 3,334,935 | 3,674,295 | ||||||
6.00% due 12/01/2039 | 143,363 | 162,788 | ||||||
7.50% due 05/01/2027 | 518 | 583 | ||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | ||||||||
Series K097, Class A1 2.16% due 05/25/2029(4) | 4,218,580 | 4,529,794 | ||||||
Series K736, Class A2 2.28% due 07/25/2026(4) | 1,255,000 | 1,352,215 | ||||||
Series KJ25, Class A2 2.61% due 01/25/2026(4) | 5,870,000 | 6,328,194 | ||||||
Series K733, Class A2 3.75% due 08/25/2025(4) | 2,800,000 | 3,165,606 | ||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | ||||||||
Series K731, Class A2 3.60% due 02/25/2025(1)(4) | 2,740,000 | 3,019,969 | ||||||
Federal Home Loan Mtg. Corp. REMIC | ||||||||
Series 4146, Class AB 1.13% due 12/15/2027(2) | 2,527,542 | 2,553,952 | ||||||
Series 4142, Class PT 1.25% due 12/15/2027(2) | 1,814,983 | 1,841,717 | ||||||
Series 4122, Class AB 1.50% due 10/15/2042(2) | 469,899 | 471,196 | ||||||
Series 4166, Class PB 1.75% due 03/15/2041(2) | 641,356 | 654,008 | ||||||
Series 4000, Class GA 2.00% due 07/15/2031(2) | 529,561 | 546,335 | ||||||
Series 4654, Class KA 3.00% due 06/15/2045(2) | 6,070,654 | 6,370,186 | ||||||
Series 4758, Class CA 3.00% due 07/15/2047(2) | 3,546,542 | 3,818,126 | ||||||
Federal Home Loan Mtg. Corp. SCRT | ||||||||
Series 2018-4, Class MA 3.50% due 03/25/2058(2) | 1,160,038 | 1,251,288 | ||||||
Series 2019-1, Class MA 3.50% due 07/25/2058(2) | 1,119,630 | 1,208,990 | ||||||
Series 2019-3, Class MA 3.50% due 10/25/2058(2) | 2,032,429 | 2,198,587 | ||||||
|
| |||||||
82,373,061 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. - 8.0% | ||||||||
2.00% due 09/01/2031 | 289,845 | 302,792 | ||||||
2.00% due 11/01/2031 | 353,802 | 369,677 | ||||||
2.00% due 12/01/2031 | 1,198,620 | 1,252,443 | ||||||
2.47% due 05/01/2025 | 3,201,639 | 3,415,129 | ||||||
2.50% due 03/01/2030 | 4,627,545 | 4,842,498 | ||||||
2.68% due 05/01/2025 | 5,964,521 | 6,437,703 | ||||||
2.78% due 06/01/2026 | 1,450,000 | 1,591,502 | ||||||
2.81% due 07/01/2025 | 5,983,184 | 6,508,447 |
2.99% due 10/01/2025 | 2,049,161 | 2,249,194 | ||||||
3.00% due 05/01/2027 | 390,753 | 410,759 | ||||||
3.00% due 06/01/2027 | 180,635 | 191,003 | ||||||
3.00% due 08/01/2027 | 117,679 | 124,501 | ||||||
3.00% due 10/01/2046 | 7,703,754 | 8,260,819 | ||||||
3.01% due 12/01/2024 | 3,585,116 | 3,884,697 | ||||||
3.07% due 02/01/2025 | 700,000 | 761,877 | ||||||
3.09% due 10/01/2025 | 982,256 | 1,081,289 | ||||||
3.12% due 05/01/2033 | 2,634,764 | 2,999,897 | ||||||
3.33% due 07/01/2022 | 5,294,000 | 5,483,047 | ||||||
4.00% due 09/01/2026 | 2,838,436 | 3,016,960 | ||||||
4.00% due 01/01/2046 | 4,871,894 | 5,293,714 | ||||||
4.00% due 02/01/2046 | 5,204,477 | 5,657,525 | ||||||
4.50% due 11/01/2026 | 509,735 | 541,506 | ||||||
4.50% due 01/01/2027 | 353,102 | 371,389 | ||||||
4.50% due 05/01/2039 | 25,044 | 28,110 | ||||||
4.50% due 06/01/2039 | 55,730 | 60,346 | ||||||
4.50% due 08/01/2039 | 5,963 | 6,658 | ||||||
4.50% due 11/01/2040 | 192,334 | 207,992 | ||||||
4.50% due 12/01/2040 | 190,851 | 214,749 | ||||||
4.50% due 07/01/2041 | 341,166 | 384,115 | ||||||
4.50% due 06/01/2043 | 146,418 | 161,311 | ||||||
4.50% due 10/01/2043 | 203,497 | 220,331 | ||||||
4.50% due 11/01/2043 | 70,748 | 76,885 | ||||||
5.50% due 03/01/2038 | 251,935 | 289,086 | ||||||
5.50% due 06/01/2038 | 27,418 | 31,629 | ||||||
5.50% due 08/01/2038 | 25,941 | 29,931 | ||||||
5.50% due 09/01/2039 | 13,624 | 15,729 | ||||||
5.50% due 05/01/2040 | 1,817 | 2,017 | ||||||
5.50% due 06/01/2040 | 6,688 | 7,503 | ||||||
6.50% due 02/01/2038 | 42,557 | 50,225 | ||||||
6.50% due 10/01/2039 | 45,966 | 53,751 | ||||||
Federal National Mtg. Assoc. Multifamily REMIC Trust VRS | ||||||||
Series 2015-M12, Class A2 2.89% due 05/25/2025(1)(4) | 10,285,000 | 10,985,813 | ||||||
Federal National Mtg. Assoc. REMIC | ||||||||
Series 2013-9, Class PT 1.25% due 02/25/2028(2) | 1,559,257 | 1,578,291 | ||||||
Series 2012-103, Class HB 1.50% due 09/25/2027(2) | 5,538,751 | 5,647,200 | ||||||
Series 2019-41, Class AC 2.50% due 03/25/2053(2) | 2,918,947 | 3,020,698 | ||||||
Series 2017-51, Class AP 3.00% due 10/25/2045(2) | 14,354,495 | 15,020,278 | ||||||
Series 2019-6, Class GJ 3.00% due 02/25/2049(2) | 798,153 | 847,586 | ||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(2) | 2,350,344 | 2,493,708 | ||||||
Series 2018-77, Class PA 3.50% due 02/25/2048(2) | 3,976,690 | 4,177,895 | ||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(2) | 15,676,342 | 16,998,497 | ||||||
Series 2019-22, Class BA 3.50% due 12/25/2058(2) | 882,631 | 969,459 | ||||||
Series 2019-28, Class JA 3.50% due 06/25/2059(2) | 9,315,012 | 10,381,560 | ||||||
Federal National Mtg. Assoc. REMIC FRS | ||||||||
Series 2017-M13, Class FA 0.58% (1 ML+0.40%) due 10/25/2024(4) | 714,466 | 712,715 | ||||||
Series 2017-M5, Class FA 0.67% (1 ML+0.49%) due 04/25/2024(4) | 151,630 | 151,698 | ||||||
|
| |||||||
139,874,134 | ||||||||
|
| |||||||
Government National Mtg. Assoc. - 5.6% | ||||||||
3.00% due 07/20/2050 | 54,510,593 | 57,504,532 | ||||||
4.00% due 02/15/2041 | 412,929 | 443,065 | ||||||
4.00% due 09/15/2041 | 527,378 | 573,826 | ||||||
4.00% due 08/15/2042 | 119,140 | 133,905 | ||||||
4.00% due October 30 TBA | 24,250,000 | 25,765,151 | ||||||
4.50% due 05/15/2040 | 372,222 | 412,571 | ||||||
4.50% due 06/15/2040 | 378,643 | 416,982 | ||||||
4.50% due 07/15/2040 | 676,294 | 749,778 | ||||||
4.50% due 05/15/2042 | 142,525 | 157,668 | ||||||
4.50% due October 30 TBA | 3,025,000 | 3,241,477 | ||||||
5.00% due 07/15/2033 | 643,492 | 729,249 | ||||||
5.00% due 10/15/2033 | 36,070 | 40,412 | ||||||
5.00% due 11/15/2033 | 5,521 | 6,097 | ||||||
5.00% due 12/15/2033 | 14,627 | 16,300 | ||||||
5.00% due 01/15/2034 | 73,480 | 81,419 | ||||||
5.00% due 02/15/2034 | 54,351 | 59,582 | ||||||
5.00% due 03/15/2034 | 1,848 | 2,025 | ||||||
5.00% due 05/15/2034 | 6,261 | 7,200 | ||||||
5.00% due 06/15/2035 | 4,096 | 4,642 | ||||||
5.00% due 09/15/2035 | 60,149 | 68,467 | ||||||
5.00% due 11/15/2035 | 20,190 | 22,680 | ||||||
5.00% due 12/15/2035 | 12,647 | 14,180 | ||||||
5.00% due 02/15/2036 | 6,930 | 7,600 | ||||||
5.00% due 03/15/2036 | 6,029 | 6,615 | ||||||
5.00% due 09/15/2036 | 1,863 | 2,045 | ||||||
5.00% due 05/15/2038 | 8,427 | 9,233 | ||||||
5.00% due 07/15/2038 | 52,492 | 57,767 | ||||||
5.00% due 08/15/2038 | 16,623 | 18,843 | ||||||
5.00% due 11/15/2038 | 45,850 | 51,849 | ||||||
5.00% due 12/15/2038 | 191,468 | 219,186 | ||||||
5.00% due 06/15/2039 | 216,538 | 242,312 | ||||||
5.00% due 08/15/2039 | 56,625 | 63,765 | ||||||
5.00% due 04/15/2041 | 150,959 | 172,826 | ||||||
5.50% due 10/15/2032 | 911 | 1,010 | ||||||
5.50% due 02/15/2033 | 55,296 | 60,981 | ||||||
5.50% due 05/15/2033 | 31,526 | 36,402 | ||||||
5.50% due 06/15/2033 | 42,551 | 49,110 | ||||||
5.50% due 07/15/2033 | 9,193 | 10,448 | ||||||
5.50% due 08/15/2033 | 4,786 | 5,283 | ||||||
5.50% due 09/15/2033 | 1,949 | 2,253 | ||||||
5.50% due 11/15/2033 | 45,987 | 51,023 | ||||||
5.50% due 01/15/2034 | 9,775 | 11,232 | ||||||
5.50% due 02/15/2034 | 39,770 | 45,084 | ||||||
5.50% due 03/15/2034 | 332,558 | 379,994 | ||||||
5.50% due 04/15/2034 | 14,576 | 17,027 |
5.50% due 05/15/2034 | 24,709 | 27,653 | ||||||
5.50% due 06/15/2034 | 6,999 | 7,751 | ||||||
5.50% due 07/15/2034 | 5,984 | 6,605 | ||||||
5.50% due 08/15/2034 | 7,570 | 8,368 | ||||||
5.50% due 09/15/2034 | 135,323 | 149,446 | ||||||
5.50% due 10/15/2034 | 104,964 | 116,259 | ||||||
5.50% due 04/15/2036 | 21,372 | 23,599 | ||||||
6.00% due 06/15/2028 | 9,727 | 10,844 | ||||||
6.00% due 08/15/2028 | 20,412 | 22,779 | ||||||
6.00% due 09/15/2028 | 25,625 | 28,523 | ||||||
6.00% due 10/15/2028 | 7,204 | 8,018 | ||||||
6.00% due 12/15/2028 | 26,914 | 30,886 | ||||||
6.00% due 04/15/2029 | 1,564 | 1,744 | ||||||
6.00% due 01/15/2032 | 3,576 | 4,068 | ||||||
6.00% due 02/15/2032 | 212 | 236 | ||||||
6.00% due 07/15/2032 | 5,734 | 6,411 | ||||||
6.00% due 09/15/2032 | 8,588 | 9,566 | ||||||
6.00% due 10/15/2032 | 135,891 | 155,603 | ||||||
6.00% due 11/15/2032 | 7,276 | 8,106 | ||||||
6.00% due 01/15/2033 | 1,756 | 1,960 | ||||||
6.00% due 02/15/2033 | 6,337 | 7,534 | ||||||
6.00% due 03/15/2033 | 11,564 | 13,107 | ||||||
6.00% due 04/15/2033 | 26,317 | 29,286 | ||||||
6.00% due 05/15/2033 | 70,336 | 78,455 | ||||||
6.00% due 12/15/2033 | 14,204 | 16,933 | ||||||
6.00% due 08/15/2034 | 2,550 | 2,914 | ||||||
6.00% due 09/15/2034 | 48,168 | 53,718 | ||||||
6.00% due 10/15/2034 | 27,593 | 31,403 | ||||||
6.00% due 05/15/2036 | 12,720 | 15,087 | ||||||
6.00% due 06/15/2036 | 146,950 | 173,709 | ||||||
6.00% due 07/15/2036 | 1,633,449 | 1,906,389 | ||||||
6.00% due 08/15/2036 | 51,507 | 61,392 | ||||||
6.00% due 12/15/2036 | 83,897 | 97,178 | ||||||
6.00% due 02/15/2037 | 44,274 | 52,794 | ||||||
6.00% due 08/15/2037 | 36,563 | 43,502 | ||||||
6.00% due 01/15/2038 | 160,494 | 192,348 | ||||||
6.00% due 03/15/2038 | 87,720 | 100,616 | ||||||
6.00% due 07/15/2038 | 56,260 | 67,091 | ||||||
6.00% due 08/15/2038 | 139,704 | 163,809 | ||||||
6.00% due 09/15/2038 | 207,794 | 243,189 | ||||||
6.00% due 10/15/2038 | 316,693 | 371,529 | ||||||
6.00% due 11/15/2038 | 125,662 | 145,377 | ||||||
6.00% due 12/15/2038 | 109,667 | 126,755 | ||||||
6.00% due 01/15/2039 | 108,242 | 124,481 | ||||||
6.00% due 02/15/2039 | 69,617 | 79,526 | ||||||
6.00% due 04/15/2039 | 69,909 | 77,963 | ||||||
6.00% due 12/15/2039 | 75,855 | 89,767 | ||||||
6.00% due 03/15/2040 | 184,708 | 206,061 | ||||||
6.00% due 04/15/2040 | 30,464 | 36,122 | ||||||
6.00% due 06/15/2041 | 98,692 | 116,614 | ||||||
6.50% due 06/15/2023 | 1,034 | 1,142 | ||||||
6.50% due 07/15/2023 | 5,872 | 6,489 | ||||||
6.50% due 08/15/2023 | 776 | 857 | ||||||
6.50% due 10/15/2023 | 2,683 | 2,965 | ||||||
6.50% due 11/15/2023 | 5,821 | 6,433 | ||||||
6.50% due 12/15/2023 | 17,760 | 19,626 | ||||||
6.50% due 02/15/2027 | 680 | 758 | ||||||
6.50% due 12/15/2027 | 1,213 | 1,340 | ||||||
6.50% due 01/15/2028 | 10,597 | 11,709 | ||||||
6.50% due 02/15/2028 | 4,819 | 5,326 | ||||||
6.50% due 03/15/2028 | 14,785 | 16,502 | ||||||
6.50% due 04/15/2028 | 7,398 | 8,199 | ||||||
6.50% due 05/15/2028 | 28,849 | 31,880 | ||||||
6.50% due 06/15/2028 | 33,168 | 36,816 | ||||||
6.50% due 07/15/2028 | 29,157 | 32,258 | ||||||
6.50% due 08/15/2028 | 20,650 | 22,969 | ||||||
6.50% due 09/15/2028 | 33,735 | 37,434 | ||||||
6.50% due 10/15/2028 | 25,467 | 28,317 | ||||||
6.50% due 11/15/2028 | 29,799 | 33,166 | ||||||
6.50% due 12/15/2028 | 26,668 | 29,629 | ||||||
6.50% due 02/15/2029 | 2,866 | 3,168 | ||||||
6.50% due 03/15/2029 | 11,821 | 13,063 | ||||||
6.50% due 04/15/2029 | 3,358 | 3,711 | ||||||
6.50% due 05/15/2029 | 46,605 | 51,501 | ||||||
6.50% due 06/15/2029 | 5,172 | 5,715 | ||||||
6.50% due 03/15/2031 | 1,482 | 1,656 | ||||||
6.50% due 04/15/2031 | 340 | 406 | ||||||
6.50% due 05/15/2031 | 39,425 | 44,780 | ||||||
6.50% due 06/15/2031 | 33,733 | 37,278 | ||||||
6.50% due 07/15/2031 | 54,756 | 62,438 | ||||||
6.50% due 08/15/2031 | 15,889 | 17,692 | ||||||
6.50% due 09/15/2031 | 50,054 | 56,487 | ||||||
6.50% due 10/15/2031 | 19,455 | 22,178 | ||||||
6.50% due 11/15/2031 | 19,198 | 21,326 | ||||||
6.50% due 01/15/2032 | 91,423 | 103,466 | ||||||
6.50% due 02/15/2032 | 39,342 | 44,610 | ||||||
6.50% due 04/15/2032 | 11,009 | 12,166 | ||||||
6.50% due 05/15/2032 | 12,876 | 14,270 | ||||||
7.00% due 11/15/2031 | 11,585 | 13,014 | ||||||
7.00% due 03/15/2032 | 11,444 | 13,430 | ||||||
7.00% due 01/15/2033 | 14,006 | 16,558 | ||||||
7.00% due 05/15/2033 | 37,687 | 44,374 | ||||||
7.00% due 07/15/2033 | 24,400 | 28,339 | ||||||
7.00% due 11/15/2033 | 35,998 | 42,542 | ||||||
8.00% due 10/15/2029 | 326 | 327 | ||||||
8.00% due 12/15/2029 | 660 | 662 | ||||||
8.00% due 01/15/2030 | 4,288 | 4,398 | ||||||
8.00% due 03/15/2030 | 101 | 101 | ||||||
8.00% due 04/15/2030 | 14,085 | 14,195 | ||||||
8.00% due 08/15/2030 | 1,095 | 1,100 | ||||||
8.00% due 09/15/2030 | 16,285 | 16,723 | ||||||
8.00% due 11/15/2030 | 1,461 | 1,559 | ||||||
8.00% due 02/15/2031 | 31,533 | 34,570 | ||||||
8.00% due 03/15/2031 | 8,294 | 8,330 | ||||||
Government National Mtg. Assoc., REMIC | ||||||||
Series 2005-74, Class HA 7.50% due 09/16/2035(2) | 16,130 | 17,396 | ||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(2) | 142,055 | 160,454 | ||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(2) | 73,123 | 84,841 | ||||||
|
| |||||||
98,678,809 | ||||||||
|
| |||||||
Uniform Mtg. Backed Securities - 11.0% | ||||||||
1.50% due October 15 TBA | 20,000,000 | 20,464,063 | ||||||
2.00% due October 15 TBA | 89,525,000 | 93,078,023 |
2.00% due October 30 TBA | 19,200,000 | 19,851,000 | ||||||
2.00% due November 30 TBA | 19,100,000 | 19,714,458 | ||||||
2.50% due October 30 TBA | 19,600,000 | 20,559,328 | ||||||
2.50% due November 30 TBA | 19,500,000 | 20,426,681 | ||||||
|
| |||||||
194,093,553 | ||||||||
|
| |||||||
Total U.S. Government Agencies | 515,019,557 | |||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES - 36.2% | ||||||||
United States Treasury Bonds - 9.4% | ||||||||
1.13% due 08/15/2040 | 10,425,000 | 10,250,707 | ||||||
1.38% due 08/15/2050 | 125,000 | 122,676 | ||||||
2.25% due 08/15/2049 | 4,705,000 | 5,611,631 | ||||||
2.50% due 02/15/2045 | 7,555,000 | 9,318,620 | ||||||
2.50% due 05/15/2046 | 915,000 | 1,132,992 | ||||||
2.75% due 08/15/2047 | 2,965,000 | 3,857,164 | ||||||
2.75% due 11/15/2047 | 19,733,000 | 25,707,628 | ||||||
2.88% due 05/15/2043(7) | 31,130,000 | 40,720,715 | ||||||
2.88% due 08/15/2045 | 6,205,000 | 8,169,513 | ||||||
2.88% due 05/15/2049 | 8,265,000 | 11,096,085 | ||||||
3.00% due 02/15/2047 | 2,520,000 | 3,416,667 | ||||||
3.00% due 08/15/2048 | 12,800,000 | 17,486,500 | ||||||
3.00% due 02/15/2049 | 3,125,000 | 4,282,837 | ||||||
3.38% due 05/15/2044 | 2,895,000 | 4,093,372 | ||||||
3.63% due 02/15/2044 | 13,550,000 | 19,838,047 | ||||||
|
| |||||||
165,105,154 | ||||||||
|
| |||||||
United States Treasury Notes - 26.8% | ||||||||
0.13% due 05/31/2022 | 23,700,000 | 23,698,149 | ||||||
0.13% due 05/15/2023 | 1,625,000 | 1,624,111 | ||||||
0.25% due 06/15/2023 | 10,000,000 | 10,026,562 | ||||||
0.25% due 05/31/2025 | 38,000,000 | 38,004,453 | ||||||
0.25% due 06/30/2025 | 47,670,000 | 47,653,241 | ||||||
0.25% due 07/31/2025 | 6,000,000 | 5,995,781 | ||||||
0.25% due 08/31/2025 | 33,650,000 | 33,623,711 | ||||||
0.63% due 05/15/2030 | 20,825,000 | 20,763,176 | ||||||
0.63% due 08/15/2030 | 6,666,000 | 6,632,670 | ||||||
1.13% due 02/28/2025 | 3,420,000 | 3,553,994 | ||||||
1.50% due 10/31/2021 | 9,175,000 | 9,310,475 | ||||||
1.50% due 03/31/2023 | 21,610,000 | 22,341,870 | ||||||
1.50% due 10/31/2024 | 20,105,000 | 21,152,659 | ||||||
1.50% due 02/15/2030 | 6,000,000 | 6,476,250 | ||||||
1.63% due 10/31/2026 | 31,740,000 | 34,120,500 | ||||||
1.63% due 08/15/2029 | 9,935,000 | 10,819,836 | ||||||
1.75% due 06/30/2022 | 8,800,000 | 9,049,219 | ||||||
1.75% due 06/30/2024 | 27,405,000 | 28,997,916 | ||||||
1.75% due 12/31/2024 | 13,000,000 | 13,837,383 | ||||||
2.13% due 12/31/2022 | 23,290,000 | 24,330,772 | ||||||
2.38% due 05/15/2029 | 845,000 | 972,707 | ||||||
2.63% due 06/30/2023 | 13,360,000 | 14,267,019 | ||||||
2.63% due 12/31/2023 | 15,000,000 | 16,190,039 | ||||||
2.88% due 09/30/2023 | 14,325,000 | 15,486,108 | ||||||
2.88% due 10/31/2023 | 32,065,000 | 34,732,908 | ||||||
2.88% due 08/15/2028 | 13,585,000 | 16,043,567 | ||||||
|
| |||||||
469,705,076 | ||||||||
|
| |||||||
Total U.S. Government Treasuries | 634,810,230 | |||||||
|
| |||||||
Total Long-Term Investment Securities | 1,726,783,666 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES - 0.2% | ||||||||
U.S. Government Treasuries - 0.2% | ||||||||
0.11% due 03/25/2021 | 325,300 | 325,130 | ||||||
0.12% due 03/25/2021 | 3,214,700 | 3,213,020 | ||||||
|
| |||||||
Total Short-Term Investment Securities | 3,538,150 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS - 13.2% | ||||||||
Bank of America Securities LLC Joint Repurchase Agreement(6) | 48,655,000 | 48,655,000 | ||||||
Barclays Capital, Inc. Joint Repurchase Agreement(6) | 43,915,000 | 43,915,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(6) | 43,915,000 | 43,915,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(6) | 48,640,000 | 48,640,000 | ||||||
RBS Securities, Inc. Joint Repurchase Agreement(6) | 46,390,000 | 46,390,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 231,515,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS | 111.8 | % | 1,961,836,816 | |||||
Liabilities in excess of other assets | (11.8 | ) | (207,768,531 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,754,068,285 | ||||
|
|
|
|
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $277,143,969 representing 15.8% of net assets. |
(1) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(2) | Collateralized Mortgage Obligation |
(3) | Collateralized Loan Obligation |
(4) | Commercial Mortgage Backed Security |
(5) | Securities classified as Level 3 (See Note 1). |
(6) | See Note 2 for details of Joint Repurchase Agreements. |
(7) | The security or portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
REMIC - Real Estate Mortgage Investment Conduit
SCRT - Seasoned Credit Risk Transfer Trust
TBA - Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
FRS - Floating Rate Security
VRS - Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.
Index Legend
1 ML - 1 Month USD LIBOR
3 ML - 3 Month USD LIBOR
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized | ||||||||||||
49 | Short | U.S. Treasury 10 Year Notes | December 2020 | $ | 6,834,734 | $ | 6,837,031 | $ | (2,297 | ) | ||||||||
|
|
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Asset Backed Securities: | ||||||||||||||||
Diversified Financial Services | $ | — | $ | 105,560,331 | $ | 3,280,000 | $ | 108,840,331 | ||||||||
U.S. Corporate Bonds & Notes | — | 267,895,978 | — | 267,895,978 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 137,153,878 | — | 137,153,878 | ||||||||||||
Foreign Government Obligations | — | 17,006,951 | — | 17,006,951 | ||||||||||||
Municipal Bond & Notes | — | 46,056,741 | — | 46,056,741 | ||||||||||||
U.S. Government Agencies | — | 515,019,557 | — | 515,019,557 | ||||||||||||
U.S. Government Treasuries | — | 634,810,230 | — | 634,810,230 | ||||||||||||
Short-Term Investment Securities | — | 3,538,150 | — | 3,538,150 | ||||||||||||
Repurchase Agreements | — | 231,515,000 | — | 231,515,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | — | $ | 1,958,556,816 | $ | 3,280,000 | $ | 1,961,836,816 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 2,297 | $ | — | $ | — | $ | 2,297 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
Anchor Series Trust SA Wellington Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS - September 30, 2020 - (unaudited)
Security Description | Shares/ Principal Amount(3) | Value (Note 1) | ||||||
COMMON STOCKS - 64.0% |
| |||||||
Aerospace/Defense - 1.0% |
| |||||||
Lockheed Martin Corp. | 2,091 | $ | 801,438 | |||||
|
| |||||||
Aerospace/Defense-Equipment - 2.1% |
| |||||||
Airbus SE† | 11,246 | 816,288 | ||||||
L3Harris Technologies, Inc. | 3,174 | 539,072 | ||||||
Safran SA† | 3,750 | 369,014 | ||||||
|
| |||||||
1,724,374 | ||||||||
|
| |||||||
Applications Software - 1.5% |
| |||||||
Five9, Inc.† | 1,587 | 205,802 | ||||||
Intuit, Inc. | 2,180 | 711,138 | ||||||
ServiceNow, Inc.† | 629 | 305,065 | ||||||
|
| |||||||
1,222,005 | ||||||||
|
| |||||||
Athletic Footwear - 0.7% |
| |||||||
adidas AG† | 1,870 | 605,250 | ||||||
|
| |||||||
Auto-Cars/Light Trucks - 0.6% |
| |||||||
Ferrari NV | 2,820 | 516,188 | ||||||
|
| |||||||
Banks-Commercial - 0.2% |
| |||||||
KBC Group NV | 2,976 | 149,017 | ||||||
|
| |||||||
Building Products-Cement - 0.5% |
| |||||||
Martin Marietta Materials, Inc. | 1,882 | 442,948 | ||||||
|
| |||||||
Building-Heavy Construction - 0.8% |
| |||||||
Cellnex Telecom SA* | 11,584 | 704,027 | ||||||
|
| |||||||
Building-Residential/Commercial - 0.4% |
| |||||||
Berkeley Group Holdings PLC | 6,493 | 353,245 | ||||||
|
| |||||||
Cable/Satellite TV - 1.8% |
| |||||||
Charter Communications, Inc., Class A† | 981 | 612,478 | ||||||
Comcast Corp., Class A | 19,063 | 881,854 | ||||||
|
| |||||||
1,494,332 | ||||||||
|
| |||||||
Cellular Telecom - 0.5% |
| |||||||
T-Mobile US, Inc.† | 3,704 | 423,589 | ||||||
|
| |||||||
Commercial Services-Finance - 2.9% |
| |||||||
Global Payments, Inc. | 4,481 | 795,736 | ||||||
IHS Markit, Ltd. | 5,687 | 446,486 | ||||||
PayPal Holdings, Inc.† | 1,494 | 294,363 | ||||||
Square, Inc., Class A† | 1,200 | 195,060 | ||||||
StoneCo, Ltd., Class A† | 5,105 | 270,003 | ||||||
Worldline SA†* | 4,881 | 400,231 | ||||||
|
| |||||||
2,401,879 | ||||||||
|
| |||||||
Computer Services - 0.5% |
| |||||||
Leidos Holdings, Inc. | 4,359 | 388,605 | ||||||
|
| |||||||
Computer Software - 0.3% |
| |||||||
Slack Technologies, Inc., Class A† | 9,685 | 260,139 | ||||||
|
| |||||||
Computers - 1.9% |
| |||||||
Apple, Inc. | 13,904 | 1,610,222 | ||||||
|
| |||||||
Consulting Services - 0.6% |
| |||||||
Booz Allen Hamilton Holding Corp. | 5,715 | 474,231 | ||||||
|
| |||||||
Data Processing/Management - 1.2% |
| |||||||
DocuSign, Inc.† | 455 | 97,934 | ||||||
Fidelity National Information Services, Inc. | 5,999 | 883,113 | ||||||
|
| |||||||
981,047 | ||||||||
|
| |||||||
Decision Support Software - 0.3% |
| |||||||
MSCI, Inc. | 787 | 280,786 | ||||||
|
| |||||||
Diagnostic Equipment - 1.7% |
| |||||||
Danaher Corp. | 3,245 | 698,746 | ||||||
Thermo Fisher Scientific, Inc. | 1,670 | 737,338 | ||||||
|
| |||||||
1,436,084 | ||||||||
|
| |||||||
Diversified Banking Institutions - 2.0% |
| |||||||
Bank of America Corp. | 11,068 | 266,628 | ||||||
BNP Paribas SA† | 3,639 | 131,827 | ||||||
JPMorgan Chase & Co. | 13,390 | 1,289,055 | ||||||
|
| |||||||
1,687,510 | ||||||||
|
| |||||||
Diversified Manufacturing Operations - 0.5% |
| |||||||
Trane Technologies PLC | 3,208 | 388,970 | ||||||
|
| |||||||
E-Commerce/Products - 3.7% |
| |||||||
Alibaba Group Holding, Ltd.† | 3,300 | 122,030 | ||||||
Alibaba Group Holding, Ltd. ADR† | 4,498 | 1,322,322 | ||||||
Amazon.com, Inc.† | 449 | 1,413,780 | ||||||
Meituan Dianping, Class B† | 9,231 | 290,308 | ||||||
|
| |||||||
3,148,440 | ||||||||
|
| |||||||
E-Commerce/Services - 1.3% |
| |||||||
Match Group, Inc.† | 6,296 | 696,653 | ||||||
MercadoLibre, Inc.† | 334 | 361,548 | ||||||
|
| |||||||
1,058,201 | ||||||||
|
| |||||||
Electric-Distribution - 0.2% |
| |||||||
Orsted A/S* | 948 | 130,762 | ||||||
|
| |||||||
Electric-Integrated - 1.3% |
| |||||||
Duke Energy Corp. | 6,042 | 535,080 | ||||||
Iberdrola SA | 48,135 | 592,437 | ||||||
|
| |||||||
1,127,517 | ||||||||
|
| |||||||
Electronic Components-Misc. - 0.3% |
| |||||||
Flex, Ltd.† | 24,021 | 267,594 | ||||||
|
| |||||||
Electronic Components-Semiconductors - 1.5% |
| |||||||
Advanced Micro Devices, Inc.† | 2,437 | 199,810 | ||||||
Infineon Technologies AG | 25,503 | 721,397 | ||||||
Marvell Technology Group, Ltd. | 9,383 | 372,505 | ||||||
|
| |||||||
1,293,712 | ||||||||
|
| |||||||
Electronic Measurement Instruments - 0.7% |
| |||||||
Roper Technologies, Inc. | 1,585 | 626,249 | ||||||
|
| |||||||
Enterprise Software/Service - 2.7% |
| |||||||
Atlassian Corp. PLC, Class A† | 1,063 | 193,243 | ||||||
Guidewire Software, Inc.† | 2,624 | 273,605 | ||||||
HubSpot, Inc.† | 974 | 284,632 | ||||||
salesforce.com, Inc.† | 4,251 | 1,068,361 | ||||||
Workday, Inc., Class A† | 2,071 | 445,534 | ||||||
|
| |||||||
2,265,375 | ||||||||
|
| |||||||
Finance-Credit Card - 1.2% |
| |||||||
Visa, Inc., Class A | 5,211 | 1,042,044 | ||||||
|
| |||||||
Gold Mining - 0.5% |
| |||||||
Barrick Gold Corp. | 15,029 | 422,128 | ||||||
|
| |||||||
Healthcare Safety Devices - 0.3% |
| |||||||
Tandem Diabetes Care, Inc.† | 2,484 | 281,934 | ||||||
|
| |||||||
Human Resources - 0.5% |
| |||||||
Recruit Holdings Co., Ltd. | 11,504 | 456,449 | ||||||
|
| |||||||
Industrial Automated/Robotic - 1.4% |
| |||||||
Keyence Corp. | 1,618 | 754,057 | ||||||
Rockwell Automation, Inc. | 1,801 | 397,445 | ||||||
|
| |||||||
1,151,502 | ||||||||
|
| |||||||
Insurance Brokers - 1.0% |
| |||||||
Marsh & McLennan Cos., Inc. | 7,497 | 859,906 | ||||||
|
| |||||||
Insurance-Life/Health - 0.1% |
| |||||||
AXA SA | 5,993 | 110,633 | ||||||
|
| |||||||
Insurance-Property/Casualty - 0.5% |
| |||||||
Tokio Marine Holdings, Inc. | 9,596 | 420,230 | ||||||
|
|
Internet Content-Entertainment - 1.4% |
| |||||||
Facebook, Inc., Class A† | 2,444 | 640,084 | ||||||
Netflix, Inc.† | 1,040 | 520,031 | ||||||
|
| |||||||
1,160,115 | ||||||||
|
| |||||||
Internet Content-Information/News - 1.4% |
| |||||||
Tencent Holdings, Ltd. | 18,296 | 1,218,392 | ||||||
|
| |||||||
Investment Management/Advisor Services - 0.1% |
| |||||||
XP, Inc., Class A† | 2,696 | 112,396 | ||||||
|
| |||||||
Lasers-System/Components - 0.3% |
| |||||||
Han’s Laser Technology Industry Group Co., Ltd., Class A | 45,100 | 219,053 | ||||||
|
| |||||||
Medical Instruments - 0.4% |
| |||||||
Intuitive Surgical, Inc.† | 475 | 337,032 | ||||||
|
| |||||||
Medical Labs & Testing Services - 0.5% |
| |||||||
WuXi AppTec Co., Ltd.* | 11,826 | 171,092 | ||||||
Wuxi Biologics Cayman, Inc.†* | 9,332 | 229,012 | ||||||
|
| |||||||
400,104 | ||||||||
|
| |||||||
Medical Products - 1.4% |
| |||||||
Baxter International, Inc. | 11,176 | 898,774 | ||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 4,700 | 240,365 | ||||||
|
| |||||||
1,139,139 | ||||||||
|
| |||||||
Medical-Biomedical/Gene - 3.2% |
| |||||||
Argenx SE ADR† | 1,413 | 370,941 | ||||||
Ascendis Pharma A/S ADR† | 2,093 | 322,992 | ||||||
Hualan Biological Engineering, Inc., Class A | 20,200 | 169,631 | ||||||
Illumina, Inc.† | 1,435 | 443,530 | ||||||
Regeneron Pharmaceuticals, Inc.† | 727 | 406,960 | ||||||
Royalty Pharma PLC, Class A | 3,488 | 146,740 | ||||||
Seagen, Inc. | 2,136 | 417,994 | ||||||
Vertex Pharmaceuticals, Inc.† | 1,419 | 386,138 | ||||||
|
| |||||||
2,664,926 | ||||||||
|
| |||||||
Medical-Drugs - 2.2% |
| |||||||
Eisai Co., Ltd. | 2,700 | 246,378 | ||||||
Eli Lilly & Co. | 2,847 | 421,413 | ||||||
Pfizer, Inc. | 20,576 | 755,139 | ||||||
UCB SA | 3,721 | 422,560 | ||||||
|
| |||||||
1,845,490 | ||||||||
|
| |||||||
Medical-HMO - 1.7% |
| |||||||
Anthem, Inc. | 1,301 | 349,436 | ||||||
UnitedHealth Group, Inc. | 3,450 | 1,075,606 | ||||||
|
| |||||||
1,425,042 | ||||||||
|
| |||||||
Metal-Diversified - 1.1% |
| |||||||
Anglo American PLC | 39,661 | 957,758 | ||||||
|
| |||||||
Private Equity - 1.2% |
| |||||||
Blackstone Group, Inc., Class A | 10,605 | 553,581 | ||||||
Brookfield Asset Management, Inc., Class A | 13,416 | 443,925 | ||||||
|
| |||||||
997,506 | ||||||||
|
| |||||||
Real Estate Investment Trusts - 1.0% |
| |||||||
Prologis, Inc. | 8,112 | 816,229 | ||||||
|
| |||||||
Rental Auto/Equipment - 0.4% |
| |||||||
Localiza Rent a Car SA | 29,500 | 297,684 | ||||||
|
| |||||||
Research & Development - 0.3% |
| |||||||
Hangzhou Tigermed Consulting Co., Ltd.†* | 4,700 | 66,952 | ||||||
Hangzhou Tigermed Consulting Co., Ltd., Class A | 12,900 | 196,201 | ||||||
|
| |||||||
263,153 | ||||||||
|
| |||||||
Resort/Theme Parks - 0.3% |
| |||||||
Oriental Land Co., Ltd. | 1,600 | 224,148 | ||||||
|
| |||||||
Retail-Apparel/Shoe - 0.9% |
| |||||||
Zalando SE†* | 7,848 | 734,586 | ||||||
|
| |||||||
Retail-Building Products - 0.8% |
| |||||||
Lowe’s Cos., Inc. | 4,243 | 703,744 | ||||||
|
| |||||||
Retail-Restaurants - 0.6% |
| |||||||
Domino’s Pizza, Inc. | 1,096 | 466,107 | ||||||
|
| |||||||
Schools - 0.8% |
| |||||||
Chegg, Inc.† | 3,089 | 220,678 | ||||||
New Oriental Education & Technology Group, Inc. ADR† | 3,293 | 492,304 | ||||||
|
| |||||||
712,982 | ||||||||
|
| |||||||
Semiconductor Equipment - 0.7% |
| |||||||
ASML Holding NV | 1,664 | 613,574 | ||||||
|
| |||||||
Telephone-Integrated - 0.1% |
| |||||||
KDDI Corp. | 2,200 | 55,651 | ||||||
|
| |||||||
Theaters - 0.2% |
| |||||||
Live Nation Entertainment, Inc.† | 2,953 | 159,108 | ||||||
|
| |||||||
Transport-Rail - 0.9% |
| |||||||
CSX Corp. | 9,489 | 737,011 | ||||||
|
| |||||||
Transport-Services - 0.8% |
| |||||||
FedEx Corp. | 2,713 | 682,374 | ||||||
|
| |||||||
Transport-Truck - 0.7% |
| |||||||
JB Hunt Transport Services, Inc. | 2,534 | 320,247 | ||||||
Old Dominion Freight Line, Inc. | 1,373 | 248,403 | ||||||
|
| |||||||
568,650 | ||||||||
|
| |||||||
Web Portals/ISP - 0.7% |
| |||||||
Alphabet, Inc., Class C† | 414 | 608,414 | ||||||
|
| |||||||
Wireless Equipment - 0.7% |
| |||||||
Motorola Solutions, Inc. | 3,999 | 627,083 | ||||||
|
| |||||||
Total Common Stocks |
| 53,756,013 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 0.2% |
| |||||||
iShares MSCI Japan ETF | 1,975 | 116,663 | ||||||
|
| |||||||
U.S. CORPORATE BONDS & NOTES - 1.4% |
| |||||||
Banks-Super Regional - 0.1% |
| |||||||
PNC Financial Services Group, Inc. | $ | 65,000 | 68,757 | |||||
|
| |||||||
Building Products-Air & Heating - 0.0% |
| |||||||
Carrier Global Corp. | 25,000 | 25,723 | ||||||
|
| |||||||
Cable/Satellite TV - 0.1% |
| |||||||
Cox Communications, Inc. | 60,000 | 63,245 | ||||||
|
| |||||||
Computer Services - 0.1% |
| |||||||
International Business Machines Corp. | 100,000 | 104,115 | ||||||
|
| |||||||
Diversified Banking Institutions - 0.2% |
| |||||||
Bank of America Corp. | 100,000 | 101,719 |
JPMorgan Chase & Co. | 70,000 | 71,442 | ||||||||||
|
| |||||||||||
173,161 | ||||||||||||
|
| |||||||||||
Electric-Integrated - 0.1% |
| |||||||||||
Southern Co. | 50,000 | 50,661 | ||||||||||
|
| |||||||||||
Finance-Other Services - 0.1% |
| |||||||||||
Intercontinental Exchange, Inc. | 55,000 | 55,152 | ||||||||||
|
| |||||||||||
Insurance-Life/Health - 0.0% |
| |||||||||||
Principal Life Global Funding II | 25,000 | 25,465 | ||||||||||
|
| |||||||||||
Medical-Biomedical/Gene - 0.2% |
| |||||||||||
Amgen, Inc. | 82,857 | 85,258 | ||||||||||
Gilead Sciences, Inc. | 115,000 | 115,241 | ||||||||||
|
| |||||||||||
200,499 | ||||||||||||
|
| |||||||||||
Medical-Drugs - 0.1% |
| |||||||||||
AbbVie, Inc. | 80,000 | 82,778 | ||||||||||
|
| |||||||||||
Medical-HMO - 0.0% |
| |||||||||||
UnitedHealth Group, Inc. | 15,000 | 15,400 | ||||||||||
|
| |||||||||||
Pharmacy Services - 0.1% |
| |||||||||||
CVS Health Corp. | 60,000 | 60,631 | ||||||||||
|
| |||||||||||
Real Estate Investment Trusts - 0.1% |
| |||||||||||
American Tower Corp. | 45,000 | 45,479 | ||||||||||
|
| |||||||||||
Retail-Restaurants - 0.0% |
| |||||||||||
Starbucks Corp. | 30,000 | 30,405 | ||||||||||
|
| |||||||||||
Telephone-Integrated - 0.2% |
| |||||||||||
AT&T, Inc. | 80,000 | 80,151 | ||||||||||
AT&T, Inc. | CAD | 150,000 | 113,160 | |||||||||
|
| |||||||||||
193,311 | ||||||||||||
|
| |||||||||||
Total U.S. Corporate Bonds & Notes |
| 1,194,782 | ||||||||||
|
| |||||||||||
FOREIGN CORPORATE BONDS & NOTES - 0.2% |
| |||||||||||
Auto-Cars/Light Trucks - 0.1% |
| |||||||||||
Volkswagen Financial Services NV | GBP | 55,000 | 70,969 | |||||||||
|
| |||||||||||
Electric-Distribution - 0.0% |
| |||||||||||
E.ON SE | EUR | 50,000 | 58,670 | |||||||||
|
| |||||||||||
Oil Companies-Integrated - 0.1% |
| |||||||||||
Shell International Finance BV | 60,000 | 60,130 | ||||||||||
|
| |||||||||||
Total Foreign Corporate Bonds & Notes |
| 189,769 | ||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 22.2% |
| |||||||||||
Sovereign - 22.2% |
| |||||||||||
Commonwealth of Australia | AUD | 184,000 | 134,809 | |||||||||
Commonwealth of Australia | AUD | 60,000 | 44,878 | |||||||||
Commonwealth of Australia | AUD | 284,000 | 234,487 | |||||||||
Commonwealth of Australia | AUD | 177,000 | 163,890 | |||||||||
Commonwealth of Australia | AUD | 244,000 | 211,539 | |||||||||
Commonwealth of Australia | AUD | 25,000 | 23,317 | |||||||||
Commonwealth of Australia | AUD | 46,000 | 41,988 | |||||||||
Commonwealth of Australia | AUD | 25,000 | 18,534 | |||||||||
Federal Republic of Germany | EUR | 129,000 | 159,300 | |||||||||
Federal Republic of Germany | EUR | 29,000 | 35,802 | |||||||||
Federal Republic of Germany | EUR | 272,000 | 332,587 | |||||||||
Federal Republic of Germany | EUR | 199,000 | 396,882 | |||||||||
Government of Canada | CAD | 179,000 | 134,492 | |||||||||
Government of Canada | CAD | 125,000 | 94,108 | |||||||||
Government of Canada | CAD | 96,000 | 74,485 | |||||||||
Government of Canada | CAD | 70,000 | 55,949 | |||||||||
Government of Canada | CAD | 116,000 | 100,076 |
Government of Canada | CAD | 68,000 | 78,648 | |||||||||
Government of Canada | CAD | 15,000 | 17,652 | |||||||||
Government of France | EUR | 30,000 | 35,253 | |||||||||
Government of France | EUR | 100,000 | 117,688 | |||||||||
Government of France | EUR | 234,000 | 276,866 | |||||||||
Government of France | EUR | 283,000 | 337,179 | |||||||||
Government of France | EUR | 201,000 | 242,154 | |||||||||
Government of France | EUR | 170,000 | 205,248 | |||||||||
Government of France | EUR | 330,000 | 398,284 | |||||||||
Government of France | EUR | 229,000 | 292,997 | |||||||||
Government of France | EUR | 35,000 | 59,008 | |||||||||
Government of France | EUR | 160,000 | 320,289 | |||||||||
Government of France | EUR | 45,000 | 113,055 | |||||||||
Government of France | EUR | 6,000 | 15,947 | |||||||||
Government of France | EUR | 48,000 | 105,773 | |||||||||
Government of Japan | JPY | 14,400,000 | 137,177 | |||||||||
Government of Japan | JPY | 9,050,000 | 86,940 | |||||||||
Government of Japan | JPY | 27,750,000 | 266,688 | |||||||||
Government of Japan | JPY | 61,650,000 | 591,732 | |||||||||
Government of Japan | JPY | 48,950,000 | 458,222 | |||||||||
Government of Japan | JPY | 25,300,000 | 223,398 | |||||||||
Government of Japan | JPY | 40,250,000 | 391,982 | |||||||||
Government of Japan | JPY | 52,550,000 | 507,527 | |||||||||
Government of Japan | JPY | 2,200,000 | 21,436 | |||||||||
Government of Japan | JPY | 53,800,000 | 542,657 | |||||||||
Government of Japan | JPY | 22,450,000 | 216,690 | |||||||||
Government of Japan | JPY | 57,300,000 | 648,406 | |||||||||
Government of Japan | JPY | 5,400,000 | 65,777 | |||||||||
Government of Japan | JPY | 9,800,000 | 120,953 | |||||||||
Government of Japan | JPY | 17,300,000 | 193,795 | |||||||||
Government of Japan | JPY | 44,600,000 | 567,898 | |||||||||
Government of Japan | JPY | 10,100,000 | 129,873 | |||||||||
Government of Malaysia | MYR | 75,000 | 18,556 | |||||||||
Government of Malaysia | MYR | 70,000 | 18,068 | |||||||||
Government of Malaysia | MYR | 180,000 | 47,735 | |||||||||
Government of Malaysia | MYR | 61,000 | 17,080 | |||||||||
Government of New Zealand | NZD | 48,000 | 34,988 | |||||||||
Government of New Zealand | NZD | 13,000 | 9,504 | |||||||||
Government of New Zealand | NZD | 75,000 | 55,760 | |||||||||
Government of New Zealand | NZD | 31,000 | 26,290 | |||||||||
Government of New Zealand | NZD | 18,000 | 14,531 | |||||||||
Government of New Zealand | NZD | 143,000 | 121,137 | |||||||||
Kingdom of Belgium | EUR | 225,000 | 272,611 | |||||||||
Kingdom of Belgium | EUR | 73,000 | 95,185 | |||||||||
Kingdom of Belgium | EUR | 39,000 | 62,468 |
Kingdom of Belgium | EUR | 63,000 | 79,027 | |||||||||
Kingdom of Belgium | EUR | 58,000 | 123,069 | |||||||||
Kingdom of Denmark | DKK | 408,000 | 72,005 | |||||||||
Kingdom of Denmark | DKK | 183,000 | 54,809 | |||||||||
Kingdom of Norway | NOK | 564,000 | 63,361 | |||||||||
Kingdom of Spain | EUR | 397,000 | 470,504 | |||||||||
Kingdom of Spain | EUR | 251,000 | 297,993 | |||||||||
Kingdom of Spain | EUR | 55,000 | 65,401 | |||||||||
Kingdom of Spain | EUR | 47,000 | 54,197 | |||||||||
Kingdom of Spain | EUR | 106,000 | 133,031 | |||||||||
Kingdom of Spain | EUR | 272,000 | 350,533 | |||||||||
Kingdom of Spain | EUR | 15,000 | 21,781 | |||||||||
Kingdom of Spain | EUR | 21,000 | 42,683 | |||||||||
Kingdom of Spain | EUR | 105,000 | 152,525 | |||||||||
Kingdom of Spain | EUR | 20,000 | 40,944 | |||||||||
Kingdom of Sweden | SEK | 200,000 | 24,112 | |||||||||
Kingdom of Sweden | SEK | 40,000 | 7,028 | |||||||||
Kingdom of the Netherlands | EUR | 102,000 | 122,217 | |||||||||
Kingdom of the Netherlands | EUR | 75,000 | 91,505 | |||||||||
Kingdom of the Netherlands | EUR | 104,000 | 127,294 | |||||||||
Kingdom of the Netherlands | EUR | 55,000 | 72,559 | |||||||||
Kingdom of the Netherlands | EUR | 18,000 | 37,023 | |||||||||
Republic of Austria | EUR | 126,000 | 151,362 | |||||||||
Republic of Austria | EUR | 44,000 | 55,687 | |||||||||
Republic of Austria | EUR | 50,000 | 68,583 | |||||||||
Republic of Austria | EUR | 2,000 | 4,969 | |||||||||
Republic of Austria | EUR | 42,000 | 66,743 | |||||||||
Republic of Austria | EUR | 30,000 | 37,516 | |||||||||
Republic of Finland | EUR | 142,000 | 171,979 | |||||||||
Republic of Finland | EUR | 10,000 | 12,609 | |||||||||
Republic of Finland | EUR | 5,000 | 6,916 | |||||||||
Republic of Finland | EUR | 19,000 | 30,078 | |||||||||
Republic of Ireland | EUR | 77,000 | 100,967 | |||||||||
Republic of Ireland | EUR | 10,000 | 15,128 | |||||||||
Republic of Ireland | EUR | 10,000 | 14,703 | |||||||||
Republic of Ireland | EUR | 39,000 | 57,934 | |||||||||
Republic of Italy | EUR | 411,000 | 486,551 | |||||||||
Republic of Italy | EUR | 170,000 | 204,100 | |||||||||
Republic of Italy | EUR | 24,000 | 29,589 | |||||||||
Republic of Italy | EUR | 317,000 | 399,876 | |||||||||
Republic of Italy | EUR | 157,000 | 192,807 | |||||||||
Republic of Italy | EUR | 343,000 | 432,231 | |||||||||
Republic of Italy | EUR | 92,000 | 118,835 | |||||||||
Republic of Italy | EUR | 33,000 | 44,960 | |||||||||
Republic of Italy | EUR | 5,000 | 7,137 |
Republic of Italy | EUR | 20,000 | 29,099 | |||||||||
Republic of Italy | EUR | 107,000 | 149,927 | |||||||||
Republic of Italy | EUR | 51,000 | 76,096 | |||||||||
Republic of Italy | EUR | 59,000 | 88,875 | |||||||||
Republic of Italy | EUR | 20,000 | 34,713 | |||||||||
Republic of Italy | EUR | 35,000 | 65,691 | |||||||||
Republic of Poland | PLN | 375,000 | 106,589 | |||||||||
Republic of Singapore | SGD | 29,000 | 27,055 | |||||||||
Republic of Singapore | SGD | 20,000 | 18,856 | |||||||||
Republic of Singapore | SGD | 40,000 | 34,519 | |||||||||
State of Israel | ILS | 531,000 | 163,344 | |||||||||
United Kingdom Gilt Treasury | GBP | 90,000 | 116,538 | |||||||||
United Kingdom Gilt Treasury | GBP | 221,000 | 287,170 | |||||||||
United Kingdom Gilt Treasury | GBP | 45,000 | 53,871 | |||||||||
United Kingdom Gilt Treasury | GBP | 117,000 | 155,826 | |||||||||
United Kingdom Gilt Treasury | GBP | 22,000 | 29,484 | |||||||||
United Kingdom Gilt Treasury | GBP | 115,000 | 153,499 | |||||||||
United Kingdom Gilt Treasury | GBP | 94,000 | 204,774 | |||||||||
United Kingdom Gilt Treasury | GBP | 45,000 | 93,385 | |||||||||
United Kingdom Gilt Treasury | GBP | 55,000 | 102,673 | |||||||||
United Kingdom Gilt Treasury | GBP | 41,000 | 88,346 | |||||||||
United Kingdom Gilt Treasury | GBP | 127,000 | 299,508 | |||||||||
United Mexican States | MXN | 530,300 | 28,110 | |||||||||
United Mexican States | MXN | 1,914,000 | 102,872 | |||||||||
United Mexican States | MXN | 543,800 | 32,785 | |||||||||
|
| |||||||||||
Total Foreign Government Obligations |
| 18,596,694 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES - 0.0% |
| |||||||||||
Port Authority of New York & New Jersey |
| 30,000 | 30,430 | |||||||||
|
| |||||||||||
U.S. GOVERNMENT TREASURIES - 11.5% |
| |||||||||||
United States Treasury Bonds - 2.3% |
| |||||||||||
2.00% due 02/15/2050 | 118,000 | 133,875 | ||||||||||
2.75% due 11/15/2047 | 20,000 | 26,055 | ||||||||||
2.88% due 05/15/2043 | 20,000 | 26,162 | ||||||||||
3.00% due 02/15/2048 | 468,500 | 638,185 | ||||||||||
3.13% due 05/15/2048 | 85,000 | 118,475 | ||||||||||
3.75% due 08/15/2041 | 179,000 | 263,165 | ||||||||||
4.38% due 11/15/2039 | 154,000 | 240,950 | ||||||||||
5.00% due 05/15/2037 | 271,000 | 439,507 | ||||||||||
|
| |||||||||||
1,886,374 | ||||||||||||
|
| |||||||||||
United States Treasury Notes - 9.2% |
| |||||||||||
0.38% due 03/31/2022 | 551,000 | 553,002 | ||||||||||
0.50% due 03/31/2025 | 1,850,000 | 1,871,463 | ||||||||||
1.38% due 08/31/2023 | 134,000 | 138,774 | ||||||||||
1.50% due 02/15/2030 | 388,000 | 418,797 | ||||||||||
2.00% due 12/31/2021 | 412,000 | 421,560 | ||||||||||
2.00% due 11/15/2026 | 70,000 | 76,849 | ||||||||||
2.13% due 08/15/2021(1) | 748,000 | 761,031 | ||||||||||
2.13% due 06/30/2022 | 816,000 | 844,401 | ||||||||||
2.38% due 08/15/2024 | 388,000 | 420,510 | ||||||||||
2.38% due 05/15/2029 | 141,000 | 162,310 | ||||||||||
2.50% due 05/15/2024 | 1,766,000 | 1,913,075 | ||||||||||
2.75% due 02/15/2028 | 128,000 | 148,955 | ||||||||||
|
| |||||||||||
7,730,727 | ||||||||||||
|
| |||||||||||
Total U.S. Government Treasuries |
| 9,617,101 | ||||||||||
|
| |||||||||||
Total Long-Term Investment Securities |
| 83,501,452 | ||||||||||
|
| |||||||||||
REPURCHASE AGREEMENTS - 3.9% |
| |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(2) |
| 705,000 | 705,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(2) |
| 625,000 | 625,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(2) |
| 625,000 | 625,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(2) |
| 690,000 | 690,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(2) |
| 660,000 | 660,000 | |||||||||
|
|
Total Repurchase Agreements (cost $3,305,000) | 3,305,000 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS (cost $76,972,352) | 103.4 | % | 86,806,452 | |||||||
Liabilities in excess of other assets | (3.4 | ) | (2,851,259 | ) | ||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 83,955,193 | ||||||
|
|
|
|
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2020, the aggregate value of these securities was $7,157,512 representing 8.5% of net assets. |
(1) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
(2) | See Note 2 for details of Joint Repurchase Agreements. |
(3) | Denominated in United States dollars unless otherwise indicated. |
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
Currency Legend
AUD - | Australian Dollar |
CAD - | Canadian Dollar |
DKK - | Danish Krone |
EUR - | Euro Currency |
GBP - | British Sterling Pound |
ILS - | Israeli New Shekel |
JPY - | Japanese Yen |
MXN - | Mexican Peso |
MYR - | Malaysian Ringgit |
NOK - | Norwegian Krone |
NZD - | New Zealand Dollar |
PLN - | Poland Zloty |
SEK - | Swedish Krona |
SGD - | Singapore Dollar |
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | ||||||||||||
4 | Long | Euro-BOBL | December 2020 | $ | 633,873 | $ | 633,920 | $ | 47 | |||||||||
1 | Long | Euro-Bund | December 2020 | 204,147 | 204,616 | 469 | ||||||||||||
2 | Long | Euro-Schatz | December 2020 | 263,309 | 263,309 | 0 | ||||||||||||
3 | Long | Long GILT | December 2020 | 526,874 | 526,888 | 14 | ||||||||||||
5 | Long | U.S. Treasury 10 Year Notes | December 2020 | 696,023 | 697,656 | 1,633 | ||||||||||||
|
| |||||||||||||||||
$ | 2,163 | |||||||||||||||||
|
| |||||||||||||||||
Unrealized (Depreciation) | ||||||||||||||||||
1 | Short | Euro-BTP | December 2020 | $ | 169,766 | $ | 173,030 | $ | (3,264 | ) | ||||||||
3 | Short | U.S. Treasury 5 Year Notes | December 2020 | 377,531 | 378,094 | (563 | ) | |||||||||||
1 | Short | U.S. Treasury Ultra 10 Year Bonds | December 2020 | 159,133 | 159,922 | (789 | ) | |||||||||||
2 | Long | U.S. Ultra Bonds | December 2020 | 446,766 | 443,625 | (3,141 | ) | |||||||||||
|
| |||||||||||||||||
$ | (7,757 | ) | ||||||||||||||||
|
| |||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | (5,594 | ) | |||||||||||||||
|
| |||||||||||||||||
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
Bank of America, N.A. | AUD | 943,000 | USD | 696,949 | 10/02/2020 | $ | 21,525 | $ | — | |||||||||||||||
EUR | 60,000 | USD | 70,979 | 10/02/2020 | 632 | — | ||||||||||||||||||
USD | 71,390 | JPY | 7,574,000 | 10/02/2020 | 425 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
22,582 | — | |||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Barclays Bank PLC | AUD | 51,000 | USD | 36,876 | 10/02/2020 | 347 | — | |||||||||||||||||
EUR | 4,023,000 | USD | 4,816,605 | 10/02/2020 | 99,840 | — | ||||||||||||||||||
EUR | 115,000 | USD | 134,702 | 11/04/2020 | — | (221 | ) | |||||||||||||||||
GBP | 1,413,000 | USD | 1,896,752 | 10/02/2020 | 73,488 | — | ||||||||||||||||||
GBP | 1,689,000 | USD | 2,178,223 | 11/04/2020 | — | (1,551 | ) | |||||||||||||||||
ILS | 558,000 | USD | 166,368 | 10/02/2020 | 3,481 | — | ||||||||||||||||||
JPY | 549,974,000 | USD | 5,206,379 | 10/02/2020 | — | (8,375 | ) | |||||||||||||||||
USD | 2,225,175 | GBP | 1,726,000 | 10/02/2020 | 1,968 | — | ||||||||||||||||||
USD | 274,531 | JPY | 29,000,000 | 10/02/2020 | 442 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
179,566 | (10,147 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
BNP Paribas SA | AUD | 1,141,000 | USD | 805,149 | 11/04/2020 | — | (12,154 | ) | ||||||||||||||||
EUR | 4,017,000 | USD | 4,815,580 | 10/02/2020 | 105,849 | — | ||||||||||||||||||
EUR | 133,000 | USD | 156,061 | 11/04/2020 | 19 | — | ||||||||||||||||||
GBP | 25,000 | USD | 33,025 | 10/02/2020 | 767 | — | ||||||||||||||||||
MYR | 414,000 | USD | 99,129 | 11/04/2020 | — | (444 | ) | |||||||||||||||||
NZD | 40,000 | USD | 26,730 | 10/02/2020 | 268 | — | ||||||||||||||||||
PLN | 400,000 | USD | 109,062 | 10/02/2020 | 5,580 | — | ||||||||||||||||||
PLN | 400,000 | USD | 102,508 | 11/04/2020 | — | (981 | ) | |||||||||||||||||
USD | 805,090 | AUD | 1,141,000 | 10/02/2020 | 12,151 | — | ||||||||||||||||||
USD | 16,609 | EUR | 14,000 | 10/02/2020 | — | (194 | ) | |||||||||||||||||
USD | 24,491 | JPY | 2,600,000 | 10/02/2020 | 162 | — | ||||||||||||||||||
USD | 80,958 | MYR | 338,000 | 10/02/2020 | 380 | — | ||||||||||||||||||
USD | 102,501 | PLN | 400,000 | 10/02/2020 | 981 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
126,157 | (13,773 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Citibank N.A. | CAD | 728,000 | USD | 557,468 | 10/02/2020 | 10,735 | — | |||||||||||||||||
DKK | 816,000 | USD | 131,309 | 10/02/2020 | 2,803 | — | ||||||||||||||||||
EUR | 8,082,000 | USD | 9,415,553 | 11/04/2020 | — | (66,640 | ) | |||||||||||||||||
ILS | 558,000 | USD | 161,336 | 11/04/2020 | — | (1,602 | ) | |||||||||||||||||
MXN | 3,457,000 | USD | 158,713 | 10/02/2020 | 2,369 | — | ||||||||||||||||||
MXN | 3,457,000 | USD | 152,852 | 11/04/2020 | — | (2,900 | ) | |||||||||||||||||
NOK | 531,000 | USD | 61,032 | 10/02/2020 | 4,103 | — | ||||||||||||||||||
NOK | 531,000 | USD | 55,764 | 11/04/2020 | — | (1,167 | ) | |||||||||||||||||
NZD | 85,000 | USD | 56,033 | 11/04/2020 | — | (198 | ) | |||||||||||||||||
SEK | 343,000 | USD | 37,841 | 11/04/2020 | — | (471 | ) | |||||||||||||||||
SGD | 80,000 | USD | 58,981 | 10/02/2020 | 375 | — | ||||||||||||||||||
SGD | 80,000 | USD | 58,114 | 11/04/2020 | — | (493 | ) | |||||||||||||||||
USD | 9,409,064 | EUR | 8,082,000 | 10/02/2020 | 66,675 | — | ||||||||||||||||||
USD | 11,448 | GBP | 9,000 | 10/02/2020 | 165 | — | ||||||||||||||||||
USD | 161,225 | ILS | 558,000 | 10/02/2020 | 1,661 | — | ||||||||||||||||||
USD | 153,440 | MXN | 3,457,000 | 10/02/2020 | 2,904 | — | ||||||||||||||||||
USD | 55,763 | NOK | 531,000 | 10/02/2020 | 1,166 | — | ||||||||||||||||||
USD | 37,827 | SEK | 343,000 | 10/02/2020 | 472 | — | ||||||||||||||||||
USD | 58,113 | SGD | 80,000 | 10/02/2020 | 493 | — | ||||||||||||||||||
USD | 76,694 | GBP | 60,000 | 11/04/2020 | 740 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
94,661 | (73,471 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Commonwealth Bank of Australia Sydney | EUR | 75,000 | USD | 88,970 | 10/02/2020 | 1,037 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Goldman Sachs International | USD | 84,683 | EUR | 71,000 | 10/02/2020 | — | (1,439 | ) | ||||||||||||||||
USD | 56,247 | GBP | 42,000 | 10/02/2020 | — | (2,052 | ) | |||||||||||||||||
USD | 24,527 | JPY | 2,600,000 | 10/02/2020 | 125 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
125 | (3,491 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
HSBC Bank USA | CAD | 179,000 | USD | 137,190 | 10/02/2020 | 2,760 | — | |||||||||||||||||
EUR | 19,000 | USD | 22,204 | 11/04/2020 | — | (88 | ) | |||||||||||||||||
GBP | 153,000 | USD | 202,304 | 10/02/2020 | 4,880 | — | ||||||||||||||||||
JPY | 3,677,000 | USD | 34,840 | 11/04/2020 | — | (38 | ) | |||||||||||||||||
MYR | 338,000 | USD | 81,491 | 10/02/2020 | 153 | — | ||||||||||||||||||
USD | 30,677 | EUR | 26,000 | 10/02/2020 | — | (194 | ) | |||||||||||||||||
USD | 82,549 | GBP | 65,000 | 10/02/2020 | 1,324 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
9,117 | (320 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
JPMorgan Chase Bank N.A. | AUD | 25,000 | USD | 18,205 | 10/02/2020 | 298 | — | |||||||||||||||||
EUR | 134,000 | USD | 159,143 | 10/02/2020 | 2,035 | — |
GBP | 122,000 | USD | 161,995 | 10/02/2020 | 4,572 | — | ||||||||||||||||||
GBP | 19,000 | USD | 24,506 | 11/04/2020 | — | (15 | ) | |||||||||||||||||
JPY | 2,975,000 | USD | 28,125 | 10/02/2020 | — | (83 | ) | |||||||||||||||||
USD | 114,094 | EUR | 97,000 | 10/02/2020 | — | (366 | ) | |||||||||||||||||
USD | 56,243 | GBP | 44,000 | 10/02/2020 | 532 | — | ||||||||||||||||||
USD | 137,680 | JPY | 14,475,000 | 10/02/2020 | — | (431 | ) | |||||||||||||||||
USD | 70,568 | GBP | 55,000 | 11/04/2020 | 414 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
7,851 | (895 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Morgan Stanley & Co. International PLC | CAD | 907,000 | USD | 677,698 | 11/04/2020 | — | (3,533 | ) | ||||||||||||||||
DKK | 816,000 | USD | 127,851 | 11/04/2020 | — | (727 | ) | |||||||||||||||||
EUR | 107,000 | USD | 126,760 | 10/02/2020 | 1,308 | — | ||||||||||||||||||
JPY | 94,555,000 | USD | 896,347 | 10/02/2020 | — | (207 | ) | |||||||||||||||||
JPY | 540,453,000 | USD | 5,132,483 | 11/04/2020 | 6,147 | — | ||||||||||||||||||
NZD | 259,000 | USD | 175,180 | 10/02/2020 | 3,838 | — | ||||||||||||||||||
NZD | 299,000 | USD | 195,840 | 11/04/2020 | — | (1,960 | ) | |||||||||||||||||
SEK | 343,000 | USD | 39,763 | 10/02/2020 | 1,464 | — | ||||||||||||||||||
USD | 677,624 | CAD | 907,000 | 10/02/2020 | 3,539 | — | ||||||||||||||||||
USD | 127,780 | DKK | 816,000 | 10/02/2020 | 727 | — | ||||||||||||||||||
USD | 507,326 | EUR | 425,000 | 10/02/2020 | — | (9,035 | ) | |||||||||||||||||
USD | 5,349,107 | JPY | 563,454,000 | 10/02/2020 | — | (6,538 | ) | |||||||||||||||||
USD | 195,845 | NZD | 299,000 | 10/02/2020 | 1,958 | — | ||||||||||||||||||
USD | 741,155 | JPY | 78,044,000 | 11/04/2020 | — | (888 | ) | |||||||||||||||||
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|
|
| |||||||||||||||||||||
18,981 | (22,888 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Royal Bank of Canada | AUD | 101,000 | USD | 74,202 | 10/02/2020 | 1,860 | — | |||||||||||||||||
EUR | 306,000 | USD | 365,444 | 10/02/2020 | 6,675 | — | ||||||||||||||||||
USD | 138,179 | EUR | 117,000 | 10/02/2020 | — | (1,002 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
8,535 | (1,002 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Standard Chartered Bank | EUR | 133,000 | USD | 157,693 | 10/02/2020 | 1,757 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
State Street Bank & Trust Co. | AUD | 21,000 | USD | 15,278 | 10/02/2020 | 237 | — | |||||||||||||||||
AUD | 72,000 | USD | 51,419 | 11/04/2020 | — | (154 | ) | |||||||||||||||||
EUR | 35,000 | USD | 41,738 | 10/02/2020 | 702 | — | ||||||||||||||||||
GBP | 173,000 | USD | 224,694 | 10/02/2020 | 1,463 | — | ||||||||||||||||||
GBP | 126,000 | USD | 162,871 | 11/04/2020 | 259 | — | ||||||||||||||||||
JPY | 10,016,000 | USD | 94,573 | 10/02/2020 | — | (396 | ) | |||||||||||||||||
SGD | 26,000 | USD | 19,010 | 11/04/2020 | — | (38 | ) | |||||||||||||||||
USD | 9,464 | EUR | 8,000 | 10/02/2020 | — | (85 | ) | |||||||||||||||||
USD | 199,429 | JPY | 20,880,000 | 10/02/2020 | — | (1,448 | ) | |||||||||||||||||
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|
|
| |||||||||||||||||||||
2,661 | (2,121 | ) | ||||||||||||||||||||||
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|
|
| |||||||||||||||||||||
Toronto Dominion Bank | USD | 59,215 | EUR | 50,000 | 10/02/2020 | — | (593 | ) | ||||||||||||||||
USD | 221,768 | JPY | 23,410,000 | 10/02/2020 | 202 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
202 | (593 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
UBS AG | JPY | 6,473,000 | USD | 61,019 | 10/02/2020 | — | (357 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Unrealized Appreciation (Depreciation) | $ | 473,232 | $ | (129,058 | ) | |||||||||||||||||||
|
|
|
|
AUD - | Australian Dollar |
CAD - | Canadian Dollar |
DKK - | Danish Krone |
EUR - | Euro Currency |
GBP - | British Sterling Pound |
ILS - | Israeli New Shekel |
JPY - | Japanese Yen |
MXN - | Mexican Peso |
MYR - | Malaysian Ringgit |
NOK - | Norwegian Krone |
NZD - | New Zealand Dollar |
PLN - | Polish Zloty |
SEK - | Swedish Krona |
SGD - | Singapore Dollar |
USD - | United States Dollar |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 40,414,222 | $ | 13,341,791 | ** | $ | — | $ | 53,756,013 | |||||||
Exchange-Traded Funds | 116,663 | — | — | 116,663 | ||||||||||||
U.S. Corportate Bonds & Notes | — | 1,194,782 | — | 1,194,782 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 189,769 | — | 189,769 | ||||||||||||
Foreign Government Obligations | — | 18,596,694 | — | 18,596,694 | ||||||||||||
Municipal Bonds & Notes | — | 30,430 | — | 30,430 | ||||||||||||
U.S. Government Treasuries | — | 9,617,101 | — | 9,617,101 | ||||||||||||
Repurchase Agreements | — | 3,305,000 | — | 3,305,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 40,530,885 | $ | 46,275,567 | $ | — | $ | 86,806,452 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 2,163 | $ | — | $ | — | $ | 2,163 | ||||||||
Forward Foreign Currency Contracts | — | 473,232 | — | 473,232 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 2,163 | $ | 473,232 | $ | — | $ | 475,395 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 7,757 | $ | — | $ | — | $ | 7,757 | ||||||||
Forward Foreign Currency Contracts | — | 129,058 | $ | — | 129,058 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 7,757 | $ | 129,058 | $ | — | $ | 136,815 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 1). |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS — September 30, 2020 — (unaudited)
Note 1. Security Valuation
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1 – Unadjusted quoted prices in active markets for identical securities
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (the “Board”), etc.)
Level 3 – Significant unobservable inputs (includes inputs that reflect the Portfolios’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The summary of each Portfolio’s asset and liabilities classified in the fair value hierarchy as of September 30, 2020 is reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are
generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio’s shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.
Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.
Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange for which they are traded, and are generally categorized as Level 1. Option contracts traded in the over-the-counter (“OTC”) market are valued at the mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) in what is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or over-the-counter market, and are generally categorized as Level 1 or Level 2.
The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC procedures”) for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust’s fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
Note 2. Repurchase Agreements
As of September 30, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with Bank of America Securities LLC:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 9.10 | % | $ | 6,555,000 | ||||
SA Wellington Government and Quality Bond | 67.58 | 48,655,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.98 | 705,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated September 30, 2020, bearing interest at a rate of 0.05% per annum, with a principal amount of $72,000,000, a repurchase price of $72,000,100, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 1.63 | % | 05/15/2026 | $ | 68,080,000 | $ | 73,462,922 |
As of September 30, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 9.08 | % | $ | 5,900,000 | ||||
SA Wellington Government and Quality Bond | 67.56 | 43,915,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.96 | 625,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated September 30, 2020, bearing interest at a rate of 0.06% per annum, with a principal amount of $65,000,000, a repurchase price of $65,000,108, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Bonds | 3.00 | % | 11/15/2044 | $ | 48,840,000 | $ | 66,451,183 |
As of September 30, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with BNP Paribas SA:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 9.08 | % | $ | 5,900,000 | ||||
SA Wellington Government and Quality Bond | 67.56 | 43,915,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.96 | 625,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated September 30, 2020, bearing interest at a rate of 0.05% per annum, with a principal amount of $65,000,000, a repurchase price of $65,000,090, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Bonds | 2.38 | % | 11/15/2049 | $ | 53,840,900 | $ | 67,052,221 |
As of September 30, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 9.08 | % | $ | 6,540,000 | ||||
SA Wellington Government and Quality Bond | 67.56 | 48,640,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.96 | 690,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated September 30, 2020, bearing interest at a rate of 0.05% per annum, with a principal amount of $72,000,000, a repurchase price of $72,000,100, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 2.13 | % | 09/30/2024 | $ | 68,278,000 | $ | 73,544,193 |
As of September 30, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 9.08 | % | $ | 6,235,000 | ||||
SA Wellington Government and Quality Bond | 67.55 | 46,390,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.96 | 660,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated September 30, 2020, bearing interest at a rate of 0.05% per annum, with a principal amount of $68,670,000, a repurchase price of $68,670,095, and a maturity date of October 1, 2020. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 2.88 | % | 09/30/2023 | $ | 64,810,000 | $ | 70,101,184 |
Note 3. Derivative Instruments
Forward Foreign Currency Contracts: During the period, the SA Wellington Strategic Multi-Asset Portfolio used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates to manage and/or gain exposure to certain foreign currencies and/or to attempt to enhance return.
A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by the Portfolio as unrealized appreciation or depreciation. On the settlement date, the Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks to the Portfolios of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio’s loss will generally consist of the net amount of contractual payments that a Portfolio has not yet received though the Portfolio’s maximum risk due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported in the Portfolio of Investments. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other Portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of the Portfolio’s Portfolio of Investments.
Futures: During the period, SA Wellington Government and Quality Bond and the SA Wellington Strategic Multi-Asset Portfolios used futures contracts to attempt to increase or decrease exposure to equity, bond and currency markets and to manage duration and yield curve positioning.
A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The primary risk to the Portfolios of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(ies). Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Portfolios will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, a Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Portfolios since futures contracts are generally exchange-traded.
Future contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Options: During the period, the SA Wellington Strategic Multi-Asset Portfolio used options contracts to seek protection against a decline in the value of a Portfolio’s securities or an increase in prices of securities that may be purchased or to generate income.
An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a Portfolio writes a call or a put option, it receives a premium which is equal to the current market value of the option written. If a Portfolio purchases a call or a put option, it pays a premium which reflects the current market value of the option. The option position is marked to market daily and its value fluctuates based upon the value of the underlying financial instrument, time to expiration, cost of borrowing funds, and volatility of the value of the underlying financial instrument. If an option which a Portfolio has written either expires on its stipulated expiration date, or if the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option which a Portfolio has written is exercised, the Portfolio realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are increased by the premium originally received. If a put option which a Portfolio has written is exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchased upon exercise of the option. Options may be traded on a national securities exchange or in the OTC market.
Risks to a Portfolio of entering into option contracts include counterparty risk, market risk and, with respect to OTC options, illiquidity risk. Counterparty risk arises from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio’s loss will consist of the net amount of contractual payments that the Portfolio has not yet received. Market risk is the risk that there will be an unfavorable change in the value of the underlying securities. There is also the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market. In addition, unlisted options are not traded on an exchange and may not be as actively traded as listed options, making the valuation of such securities more difficult. An unlisted option also entails a greater risk that the party on the other side of the option transaction may default, which would make it impossible to close out an unlisted option position in some cases, and profits related to the transaction lost thereby.
Option contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by the Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio’s net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when a Portfolio’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline in a Portfolio’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio’s counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio’s financial statements.
ADDITIONAL INFORMATION
Additional information is available in the Trust’s Annual and Semiannual reports, which may be obtained without charge from the EDGAR database on the Securities and Exchange Commission’s website at http://www.sec.gov.